Browsing Department of Mathematics (MU) by Thesis Advisor "Tsoi, Allanus HakMan, 1955"
Now showing items 13 of 3

Constant proportion portfolio insurance and related topics with empirical study
(University of MissouriColumbia, 2012)The concept of Constant Proportion Portfolio Insurance (CPPI) in terms of jumpdiffusion, as well as the associated meanvariance hedging problem, has been studied. Three types of risk related to: the probability of loss, ... 
An experimental study of the game of Nim
(University of MissouriColumbia, 2009)[ACCESS RESTRICTED TO THE UNIVERSITY OF MISSOURI AT AUTHOR'S REQUEST.] This study is an analysis of the game of Nim. The paper is divided into two parts. The first part is a theoretical examination of the game in which the ... 
Volatility estimation and price prediction using a hidden Markov model with empirical study
(University of MissouriColumbia, 2007)This work provides a solid development of a hidden Markov model (HMM) from the economic insight to the mathematic formulation. In this model, we assume both drift and volatility of the security return process are driven ...