Now showing items 1-9 of 9

    • Bias in the Estimate of a Mean Reversion Parameter for a Fractional Ornstein-Uhlenbeck Process 

      Ng, Wai Man (University of Waterloo, 2017-01-19)
      In this thesis we studied the estimation bias of the least squares estimate of the mean reversion parameter, when the underlying dynamics is governed by fractional Brownian motions. Fractional Brownian motion is a ...
    • Computational Methods in Finance Related to Distributions with Known Marginals 

      Memartoluie, Amir (University of Waterloo, 2017-05-30)
      Model uncertainty and the dependence structures of various risk factors are important components of measuring and managing financial risk, such as market, credit and operational risks. In this thesis we provide a systematic ...
    • Conditional Scenario Generation with a GVAR Model 

      Wang, Xinghao (University of Waterloo, 2016-12-15)
      The stress-testing method formed an integral part of the practice of risk management. However, the underlying models for scenarios generation have not been much studied so far. In past practice, the users typically did ...
    • The Estimation of Stochastic Models in Finance with Volatility and Jump Intensity 

      Wilson, David Edward Alexander (University of Waterloo, 2018-10-26)
      This thesis covers the parametric estimation of models with stochastic volatility, jumps, and stochastic jump intensity, by FFT. The first primary contribution is a parametric minimum relative entropy optimal Q-measure ...
    • 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. ...
    • On imprecision in statistical theory 

      Shum, Marco Yan Shing (University of Waterloo, 2022-01-06)
      This thesis provides an exploration of the interplay between imprecise probability and statistics. Mathematically, one may summarise this relationship as how (Bayesian) sensitivity analysis involving a set of (prior) models ...
    • A Statistical Response to Challenges in Vast Portfolio Selection 

      Guo, Danqiao (University of Waterloo, 2019-07-04)
      The thesis is written in response to emerging issues brought about by an increasing number of assets allocated in a portfolio and seeks answers to puzzling empirical findings in the portfolio management area. Over the ...
    • Using Infinite Server Queues Theory In Stress Testing 

      Zhang, Guichang (University of Waterloo, 2016-12-05)
      In this thesis, we propose and study a framework to model stress testing, using an infinite server queues theory, such that this framework is aligned with and integrates several existing frameworks currently used in the ...
    • Valuation of Carbon Emission Allowances and Sustainable Investment 

      Fang, Mingyu (University of Waterloo, 2019-09-25)
      Rising awareness of the impacts of climate change is leading to a rapid development of emission trading schemes (ETS) globally as a market-based means of emission control. Under a typical ETS, emission allowances are issued ...


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