Browsing University of Waterloo by Supervisor "Schied, Alexander"
Now showing items 1-3 of 3
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Measures for risk, dependence and diversification
(University of Waterloo, 2024-06-20)Two primary tasks in quantitative risk management are measuring risk and managing risk. Risk measures and dependence modeling are important tools for assessing portfolio risk, which have gained much interest in the literature ... -
On the Extrema of Functions in the Takagi Class
(University of Waterloo, 2019-01-23)The Takagi class is a class of fractal functions on the unit interval generalizing the celebrated Takagi function. In this thesis, we study the extrema of these functions. This is a problem that goes back to J.-P. Kahane ... -
On the roughness of paths and processes
(University of Waterloo, 2021-09-10)In recent years, a significant amount of the stochastic volatility literature has focused on modelling the ``roughness" or irregularity of the unobserved volatility time series and its effect on option pricing. In many ...