Browsing Matematisk institutt by Title
Now showing items 1681-1700 of 3782
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(Research report / Forskningsrapport, 2009)We study the robustness of the sensitivity with respect to parameters in expectation functionals with respect to various approximations of a Lévy process. As sensitivity parameter, we focus on the delta of an European ...
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(Research report / Forskningsrapport, 2006)This paper proposes a general non-Gaussian Ornstein-Uhlenbeck model for a joint financial process based on marginal Lévy measures joined by a Lévy copula. Simulated processes then result from choices of marginal measures ...
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(Master thesis / Masteroppgave, 2019)An extended LIBOR forward rate model is derived through what we call the HJM-Lévy framework. The resulting model is a geometric Itô-Lévy process, of which the well known geometric Brownian motion with deterministic volatility ...
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(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2016)libRadtran is a widely used software package for radiative transfer calculations. It allows one to compute (polarized) radiances, irradiance, and actinic fluxes in the solar and thermal spectral regions. libRadtran has ...
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(Research report / Forskningsrapport, 1984)
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(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2022)We prove Lieb type convexity and concavity results for trace functionals associated with positive operator monotone (decreasing) functions and certain monotone concave functions, together with strictly positive linear maps ...
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(Master thesis / Masteroppgave, 2012)This master's thesis studies the kayak rudder flow phenomena and uses analytic, numerical and experimental methods to describe the force coefficients of kayak rudders. Also an analysis of the sport of flatwater kayaking ...
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(Research report / Forskningsrapport, 1976)
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(Master thesis / Masteroppgave, 2021)In statistical analysis of data we are interested in understanding or estimating certain aspects of the probability distribution generating the data. The aspects we are interested in does not always relate to all the ...
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(Master thesis / Masteroppgave, 2020)Statistical boosting is a powerful tool that has become increasingly more popular in recent years. It works very well in the high-dimensional data setting, and it has many beneficial properties, e.g., shrinkage, automated ...
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(Research report / Forskningsrapport, 1995)
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(Research report / Forskningsrapport, 1980)
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(Research report / Forskningsrapport, 1980)
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(Master thesis / Masteroppgave, 2022)Not being able to price the illiquidity costs of a portfolio can often be an expensive gambit for investors. Yet, mathematical models of illiquidity are rare in the literature. The object of this thesis is to explore the ...
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(Research report / Forskningsrapport, 2003)We consider classification of a realization of the multivariate spatial-temporal Gaussian random field into one of two populations with different regression mean models and factorized covariance matrices. Unknown means and ...
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(Master thesis / Masteroppgave, 2006)Kommer senere. Les kapittel 1.
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(Research report / Forskningsrapport, 2012)
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(Master thesis / Masteroppgave, 2016)
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(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2019)
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(Master thesis / Masteroppgave, 2013)A lined pipeline consists of an outer main load-bearing pipe of Carbon-Manganese steel, termed backing steel, and an inner corrosion resistant alloy layer, termed liner. The purpose of the liner is to serve as a membrane; ...