Expected Maximum Drawdowns Under Constant and Stochastic Volatility
The maximum drawdown on a time interval [0, T] of a random process can be defined as the largest drop from a high water mark to a low water mark. In this project, expected maximum drawdowns are analyzed in two cases: maximum drawdowns under constant volatility and stochastic volatility. We consid...
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Digital WPI
2006
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| Online Access: | https://digitalcommons.wpi.edu/etd-theses/707 https://digitalcommons.wpi.edu/cgi/viewcontent.cgi?article=1706&context=etd-theses |