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From Constant To Stochastic Volatility: Black-Scholes Versus Heston Option Pricing Models, Hsin-Fang Wu
From Constant To Stochastic Volatility: Black-Scholes Versus Heston Option Pricing Models, Hsin-Fang Wu
Senior Projects Spring 2019
The Nobel Prize-winning the Black-Scholes Model for stock option pricing has a simple formula to calculate the option price, but its simplicity comes with crude assumptions. The two major assumptions of the model are that the volatility is constant and that the stock return is normally distributed. Since 1973, and especially in the 1987 Financial Crisis, these assumptions have been proven to limit the accuracy and applicability of the model, although it is still widely used. This is because, in reality, observing a stock return distribution graph would show that there is an asymmetry or a leptokurtic shown in the …
Analysing Flow Free With One Pair Of Dots, Eliot Harris Roske
Analysing Flow Free With One Pair Of Dots, Eliot Harris Roske
Senior Projects Spring 2019
Flow Free is a smartphone puzzle game where the player is presented with an m by m grid containing multiple pairs of colored dots. In order to solve the puzzle, the player must draw a path connecting each pair of points so that the following conditions are met: each pair of dots is connected by a path, each square of the grid is crossed by a path, and no paths intersect. Based on these puzzles, this project looks at grids of size m by n with only one pair of dots to determine for which configurations of dots a solution …
A Strength Test For The Borda Count, Jade Monroe Waring
A Strength Test For The Borda Count, Jade Monroe Waring
Senior Projects Spring 2019
When running an election with more than two candidates, there are many ways to choose the winner. A famous theorem of Arrow states that the only mathematically fair way to choose is to do so at random. Because this is not a desirable way to choose a winner of an election, many mathematicians have devised alternate ways of aggregating ballots. In my project I consider one of these ways -- the Borda Count, considered to be one of the most desirable from both the point of view of mathematics and economics -- and came up with a method to test …