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- 2Department of Mechanical Engineering
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- 1Department of Computing Science
- 1Department of Public Health Sciences
- 7Frei, Christoph (Mathematical and Statistical Sciences)
- 7Hillen, Thomas (Mathematical and Statistical Sciences)
- 7Kong, Linglong (Mathematical and Statistical Sciences)
- 7Lewis, Mark (Mathematical and Statistical Sciences)
- 6Han, Bin (Mathematical and Statistical Sciences)
- 6Kashlak, Adam (Mathematical and Statistical Sciences)
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Fall 2019
In this thesis, selected topics on valuation and hedging of financial and insurance contracts are studied. First of all, we study the most common in mathematical finance Black-Scholes market and provide an alternative derivation of the famous Black-Scholes formula from the binomial option pricing...
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Spring 2023
Credit risk management, which deals with mitigating losses from lending activities, is crucial for financial institutions. Hence, credit risk modelling can be employed to reduce potential losses and avoid financial crises. There are sometimes monotonic relationships in credit risk models, which...
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Fall 2023
The aim of this thesis is to provide an exposition to Mochizuki and Hoshi's approach to birational anabelian geometry of mixed characteristic local fields. In the introductory chapter, we begin by recalling the relevant backgrounds on the Grothendieck conjectures on the étale fundamental groups...
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Option Pricing and Logarithmic Euler-Maruyama Convergence of Stochastic Delay Equations driven by Levy process
DownloadFall 2021
In this thesis, we study the product formula for finitely many multiple Itˆo-Wiener integrals of Levy process, option pricing formula where the stock price is modelled by stochastic delay differential equation (SDDE) driven by Levy process and logarithmic Euler-Maruyama scheme for the SDDE. In...
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Fall 2021
This thesis proposes a novel Gaussian copula function-on-scalar regression, which is more flexible to characterize the relationship between functional or image response and scalar predictors and is able to relax the linear assumption in traditional function-on-scalar linear regression. Estimation...
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Fall 2021
Hydrogen fuel cells convert the chemical energy of hydrogen directly into electricity, with the only byproducts being heat and water. The high cost of hydrogen fuel cells due to the expensive platinum catalyst is one of the limiting factors to their global commercialization. Improving fuel-cell...