Browsing Matematisk institutt by Title
Now showing items 2107-2126 of 3782
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(Research report / Forskningsrapport, 1993)
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(Research report / Forskningsrapport, 2010)
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(Chapter / Bokkapittel / PublishedVersion; Peer reviewed, 2017)
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(Research report / Forskningsrapport, 1995)
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(Research report / Forskningsrapport, 1970)
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(Research report / Forskningsrapport, 1973)
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(Research report / Forskningsrapport, 1965)
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(Research report / Forskningsrapport, 1965)
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(Research report / Forskningsrapport, 1966)
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(Research report / Forskningsrapport, 1973)
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(Research report / Forskningsrapport, 2010)We study the robustness of option prices to model variation after a change of measure where the measure depends on the model choice. We consider geometric Lévy models in which the infinite activity of the small jumps is ...
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(Research report / Forskningsrapport, 1975)
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(Research report / Forskningsrapport, 1982)
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(Research report / Forskningsrapport, 1982)
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(Research report / Forskningsrapport, 2014)The present report is concerned with the evolution of boundary layers during runup of solitary waves on a beach in a wave tank of depth 0.2m. It comprises both theory and high resolution PIV measurements of velocity profiles. ...
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(Research report / Forskningsrapport, 1974)
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(Research report / Forskningsrapport, 1972)
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(Research report / Forskningsrapport, 1999)
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(Research report / Forskningsrapport, 1964)
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(Research report / Forskningsrapport, 2004)We analyze the classical Merton's portfolio optimization problem when the risky asset follows an exponential Ornstein-Uhlenbeck process, also known as the Schwartz mean-reversion dynamics. The corresponding Hamilton-Jacobi-Bellman ...