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(Doctoral thesis / Doktoravhandling, 2012)
In the process of modeling, the agent has to make a number of decisions. Therefore two agents can set up different models. This thesis compares the influence of different model choices to stochastic control theory and ...
(Research report / Forskningsrapport, 2017)
There are many different numerical methods for solving the Navier-Stokes equations for problems with a free surface. Some examples are volume of fluid (VOF), Marker and cell (MAC), level set, smooth particle hydrodynamics ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2016)
We initiate the study of the internal structure of C*-algebras associated to a left cancellative semigroup in which any two principal right ideals are either disjoint or intersect in another principal right ideal; these ...
(Journal article / Tidsskriftartikkel / SubmittedVersion, 2015)
For a commodity spot price dynamics given by an Ornstein–Uhlenbeck (OU) process with Barndorff-Nielsen and Shephard stochastic volatility, we price forwards using a class of pricing measures that simultaneously allow for ...
(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2013)
The immense increase in availability of genomic scale datasets, such as those provided by the ENCODE and Roadmap Epigenomics projects, presents unprecedented opportunities for individual researchers to pose novel falsifiable ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2016)
The Bruhat order is defined in terms of an interchange operation on the set of permutation matrices of order n which corresponds to the transposition of a pair of elements in a permutation. We introduce an extension of ...
(Doctoral thesis / Doktoravhandling, 2017)
(Master thesis / Masteroppgave, 2017)
On the 1st of January 2016, the Solvency II Directive regulating the European insurance industry came into force. Along with a host of reporting requirements, quantitative algorithms for calculating key quantities are ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2017)
A well-known application of Malliavin calculus in mathematical finance is the probabilistic representation of option price sensitivities, the so-called Greeks, as expectation functionals that do not involve the derivative ...
(Master thesis / Masteroppgave, 2016)
The purpose of this thesis is to study the hedging of financial derivatives, using the so-called local risk-minimizing strategy, which is a popular quadratic hedging strategy in incomplete markets. The local risk minimization ...