Browsing Department of Mathematics (MU) by Thesis Advisor "Tsoi, Allanus Hak-Man, 1955-"
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Constant proportion portfolio insurance and related topics with empirical study
(University of Missouri--Columbia, 2012)The concept of Constant Proportion Portfolio Insurance (CPPI) in terms of jump-diffusion, as well as the associated mean-variance 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 Missouri--Columbia, 2009)[ACCESS RESTRICTED TO THE UNIVERSITY OF MISSOURI AT REQUEST OF AUTHOR.] 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 ... -
Volatility estimation and price prediction using a hidden Markov model with empirical study
(University of Missouri--Columbia, 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 ...