Browsing Theses and Dissertations (MU) by Thesis Advisor "Tsoi, Allanus Hak-Man, 1955-"

Now showing items 1-3 of 3

  • Constant proportion portfolio insurance and related topics with empirical study 

    Wang, Mingming (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 

    Maslar, David (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 

    Yin, Pei, 1978- (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 ...