Browsing Mathematics (Faculty of) by Subject "Finance"

Now showing items 1-3 of 3

Financial Fraud: A Game of Cat and Mouse

Gornall, William (University of Waterloo, 2010-06-11)

This thesis models rational criminals and regulators with flawed incentives. In it we develop a rational model of crime and regulation that we use to show the SEC's current incentive structure is ineffective at preventing ...
Inverse Problems in Portfolio Selection: Scenario Optimization Framework

Bhowmick, Kaushiki (University of Waterloo, 2011-10-27)

A number of researchers have proposed several Bayesian methods for portfolio selection, which combine statistical information from financial time series with the prior beliefs of the portfolio manager, in an attempt to ...
Optimal Trading Strategies for an Asset with Disordered Return

Pastor, Kyle (University of Waterloo, 2015-09-18)

We explore various trading strategies from a mathematical and practical perspective. Using a geometric Brownian motion with a disorder to model asset price bubbles, we apply this model to multiple periods and explore the ...