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Showing results 1 to 19 of 19

Issue Date	Title	Author(s)
2017	A STUDY OF THE EFFECT OF DARK POOL USING MARKET SIMULATION	Wasin Surarak
2022	Application of fractional exponential feature to GARCH model variants for improvement in value-at-risk prediction	Chanet Saisatian
2015	Backtest Criteria for the Quantile Correction under Model Risk	Siridej Putsorn
2011	Comparison of important factors which explain credit default swap premium variations : a forward-looking perspective	Chavalit Kitjakarnlertudom
2020	Determining the tracking error and value-at-risk of an active portfolio when combined with a passive portfolio with value-at-risk constraint	Nuttawoot Ladee
2014	FIRST-PASSAGE TIME SECURITIES VALUATION UNDER JUMP-DIFFUSION MODEL USING PARTITIONING, EXPONENTIAL TWISTING, AND CONDITIONAL MONTE CARLO TECHNIQUE	Prachya Mongkolkul
2022	Investor’s sentiment and stock return: an empirical study on the Thai Stock Market	Chang Chen
2020	Option pricing using local volatility function: how to specify its knots?	Wisuth Raweerojthanatt
2016	Pension strategy under volatility clustering	Teerut Tawichsri
2017	Plan member’s heterogeneity, economic regime effect and their implication on the management and sustainability of retirement funds	Thepdanai Danswasvong
2021	Portfolio construction under group risk parity strategy in the stock exchange of Thailand	Warintorn Sornpradit
2014	PRICING MULTINAME CREDIT DERIVATIVES BY MULTICORRELATED MARKET FACTOR MODEL	Supalak Phetcharat
2009	Probability bucketing for correlation expansion in CDO pricing	Chanya Siriarayaphan
2020	Reverse stress testing on non-elliptical jointly distributed multivariate data	Chevincee Werawanich
2009	Sensitivity analysis of CDO pricing models	Romani Boondicharern
2019	The Determinants of THB Swap Spreads	Parkorn Wattanaskolpant
2019	The impacts of Volatility Spread and Timing on writing non-directional options strategies	Thapanon Rungwittayatiwat
2020	The magnet effect of price limits: evidence from high-frequency data on the stock exchange of Thailand	Wongwarit Boonyasitphawee
2022	Why is the third principal component of the yield curve important: A point of view from reverse stress test on credit portfolio	Phanuwat Ritpornnarong

Showing results 1 to 19 of 19