Now showing items 1-6 of 6

    • Applications of Projection Pursuit in Functional Data Analysis: Goodness-of- fit, Forecasting, and Change-point Detection 

      Xie, Yijun (University of Waterloo, 2021-01-20)
      Dimension reduction methods for functional data have been avidly studied in recent years. However, existing methods are primarily based on summarizing the data by their projections into principal component subspaces, namely ...
    • Multiscale GARCH Modeling and Inference 

      Chen, Lichen (University of Waterloo, 2018-10-11)
      The motivation behind this thesis is the shortage of formal statistical inference methods in the literature for testing whether a time series model is consistent with a sample at multiple sampling frequencies simultaneously. ...
    • Pricing and Hedging of Emerging Products in Finance and Insurance 

      Tang, Junsen (University of Waterloo, 2018-12-12)
      This thesis addresses the pricing and hedging issues on the newly-developed financial and insurance products, including simplified hedges for path-dependent options, variable annuities tied with state-dependent fees, and ...
    • Risk Modelling in Shariah Compliant Investment and Insurance Products 

      Puspita, Dila (University of Waterloo, 2021-09-28)
      The main objective of this study is to develop a risk model for Shariah (Islamic) compliant investment and insurance. Islamic finance is a part of Socially Responsible Investment (SRI) that incorporates religious ethics. ...
    • State-dependent Modeling of Default Rates 

      Hu, Bowen (University of Waterloo, 2021-09-29)
      Risk-weight function is the most popular formula for banking regulations used to calculate the amount of backup deposit that banks need to hold in order to bear extraordinary losses. The model behind the formula was ...
    • Statistical Inference and Pricing for Regime Switching Models in Finance and Insurance 

      Lin, Fangyuan (University of Waterloo, 2016-09-02)
      This thesis studies the estimation, goodness-of-fit testing, pricing and sampling problems for regime switching models, which are popularly used in financial markets. Specifically, we consider such models whose distributions ...


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