Recent Submissions

  • 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 ...
  • Inflation derivatives pricing with a forward CPI model 

    Ruest, Eric (University of Waterloo, 2010-05-21)
    The Zero-Coupon Inflation Indexed Swap (ZCIIS) is a derivative contract through which inflation expectations on the Consumer Price Index (CPI) are actively traded in the US. In this thesis we consider different ways to use ...
  • Time change method in quantitative finance 

    Cui, Zhenyu (University of Waterloo, 2010-04-28)
    In this thesis I discuss the method of time-change and its applications in quantitative finance. I mainly consider the time change by writing a continuous diffusion process as a Brownian motion subordinated by a ...


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