Financial Mathematics Professional Master's Project Presentations

Stratton Hall 203
4 - 7:30 p.m.
April 30, 2004

Please join the students, faculty and friends of the Financial Mathematics graduate program for the annual presentation of the Professional Master's Projects of the program's second graduating class.

The schedule of the presentation session is as follows.

4:30 p.m.

Time Frame and its Impact on Commodity Trading Advisor Performance

Nordia Thomas
Advisors: Prof. Kathryn Wilkens and Prof. Bogdan Doytchinov
5 p.m.

Historical Risk Assessment of a Balanced Portfolio Using Value-at-Risk

Gregory Malfas
5:30 p.m.

Value-at-Risk Models for a Nonlinearly Hedged Portfolio

Guochun Liu
6 p.m.

Effects of Transaction Costs and Resampling on Optimized Portfolios

Emmanuel Denteh
6:30 p.m.

Portfolio Optimization Based on Robust Estimation Procedures

Weiquo Gao
7 p.m.

Bayesian Predictive Inference Under Informative Sampling and Transformation

Gang Shen (Master of Applied Statistics thesis presentation)

Due to scheduling issues, the following presentations will be made at another time.

Valuation of Path-Dependent Securities using Low Discrepancy Simulation Methods

Inna Krykova

Alternative Estimation Methods for Security Returns and Covariances

Sharon Blatt

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Last modified: September 28, 2006 14:48:35