Recent Submissions

  • Predicting Student Loan Debt: A Hierarchical Time Series Analysis 

    Ensor, Katherine; Elsesser, George (2021)
    In recent years, and especially in response to the Covid-19 pandemic, much attention has been brought to the issue of rapidly increasing student debt. Yet in the field of time series analysis, there is a dearth of studies examining trends in student loan debt. This is likely due to the impression of simple, yet steep, linear increase in student loan ...
  • Modeling SPX Volatility to Improve Options Pricing 

    Ensor, Katherine; Dobelman, John A.; Aiman, Jared; Iglesias, Vicente; Sarkar, Sumit (2021)
    In this project, we develop a model to predict future stock market volatility and facilitate more accurate options pricing. The Black Scholes model gives an expected premium for an options contract; however, it uses an unknown fixed parameter referred to as volatility. We advance this by using a modified Glosten-Jagannathan-Runkle Generalized ...