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(1 - 4 of 4)

Title: Computing value-at-risk and expected shortfall in operational risk
Author(s): Ryerson University (Degree granting institution), Bakassa-Traore, Desire Issiaka (Author), Olivares, Pablo (Degree supervisor)
Subject(s): Risk management -- Mathematical models, Operational risk, Value -- Mathematical models
Program: Applied Mathematics
Degree: Master of Science

Title: Pricing spark spread options in electricity markets
Date: 2016
Author(s): Ryerson University (Degree granting institution), Sharma, Shivani (Author), Olivares, Pablo (Degree supervisor), Alvarez, Alexander (Degree supervisor)
Subject(s): Jump processes, Electric utilities -- Rates -- Mathematical models, Electric utilities -- Rates -- Ontario, Monte Carlo method, Lévy processes, Pricing -- Mathematical models
Program: Applied Mathematics
Degree: Master of Science

Title: Pricing energy contracts under regime switching time-changed Levy Processes
Date: 2018
Author(s): Ryerson University (Degree granting institution), Gajewski, Konrad (Author), Olivares, Pablo (Degree supervisor), Ferrando, Sebastian (Degree supervisor)
Subject(s): Foreign exchange futures, Futures market, Options (Finance), Hedging (Finance)
Program: Applied Mathematics
Degree: Master of Science

Title: A regime switching model with exogenous variables in a study of hedge funds
Date: 2012
Author(s): Ryerson University (Degree granting institution), Adamopoulos, Pauline (Author), Olivares, Pablo (Degree supervisor)
Subject(s): Markov processes, Markov processes -- Mathematical models, Hedge funds, Hedge funds -- Mathematical models, Macroeconomics
Program: International Economics and Finance
Degree: Master of Arts