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Now showing items 81-90 of 3781
(Research report / Forskningsrapport, 2009)
We propose a method to compute approximate eigenpairs of the Schrödinger operator on a bounded domain in the presence of an electromagnetic field. The method is formulated for the simplicial grids that satisfy the discrete ...
(Journal article / Tidsskriftartikkel / SubmittedVersion, 2014)
We study valuation of swing options on commodity markets when the commodity prices are driven by multiple factors. The factors are modeled as diffusion processes driven by a multidimensional Lévy process. We set up a ...
(Journal article / Tidsskriftartikkel / SubmittedVersion, 2014)
In this paper we propose a new modelling framework for electricity futures markets based on so-called ambit fields. The new model can capture many of the stylised facts observed in electricity futures and is highly ...
(Research report / Forskningsrapport, 2005)
We discuss the modeling of electricity contracts traded in many deregulated power markets. These forward/futures type contracts deliver (either physically or financially) electricity over a specified time period, and is ...
(Research report / Forskningsrapport, 2005)
We develop a notion of nonlinear stochastic integrals for hyperfinite Lévy processes, and use it to find exact formulas for expressions which intuitively are given as sums and products of functions of the increments of ...
(Research report / Forskningsrapport, 1970)
(Research report / Forskningsrapport, 2005)
We develop and apply a numerical scheme for pricing options for the stochastic volatility model proposed by Barndorff-Nielsen and Shephard. This non-Gaussian Ornstein-Uhlenbeck type of volatility model gives rise to an ...
(Master thesis / Masteroppgave, 2012)
Oppgaven sammenlikner to strategier for hvordan en kan optimere olje- og gassproduksjonen fra flere reservoarer som deler et prosesseringsanlegg. Oljeproduksjonen i hver periode beskrives ved en differenslikning som ...
(Research report / Forskningsrapport, 2002)
(Research report / Forskningsrapport, 2002)
We develop a white noise theory for Poisson random measures associated with a Lévy process. The starting point of this theory is a chaos expansion with kernels of polynomial type. We use this to construct the white noise ...