Browsing NTNU Open by Author "Næss, Arvid"
Now showing items 21-40 of 70
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Extreme Value Analysis & Application of the ACER Method on Electricity Prices
Anda, Torgeir (Master thesis, 2012)In this thesis we have explored the very high prices that sometimes occurs in the Nord Pool electricity market Elspot. By applying AR-GARCH time series models, extreme value theory, and ACER estimation techniques, we have ... -
Extreme Value Estimation of Beaufort Sea Ice Dynamics Driven by Global Wind Effects
Sinsabvarodom, Chana; Næss, Arvid; Leira, Bernt Johan; Chai, Wei (Journal article; Peer reviewed, 2022) -
Extreme Value Estimation of Mooring Loads Based on Station-Keeping Trials in Ice
Sinsabvarodom, Chana; Leira, Bernt Johan; Chai, Wei; Næss, Arvid (OMAE2020-18172, Chapter; Peer reviewed, 2020)he purpose of this work is to perform an extreme value estimation of the mooring loads associated with station-keeping of a ship operating in ice. In general, the design of mooring lines is based on estimation of the extreme ... -
Extreme value prediction with modified Enhanced Monte Carlo method based on tail index correction
Yu, Siyuan; Wu, Wenhua; Næss, Arvid (Peer reviewed; Journal article, 2023)As one of the main branches of extreme statistics, extreme value theory is widely used in marine engineering. Due to its special application in real ocean environmental states, the scale of the obtained monitoring data is ... -
Fast pricing of barrier options with NIG dynamics
Aukrust, Eivind Grøver (Master thesis, 2008)We show how we can price different barrier options very fast and accurately using numerical path integration. We will assume the underlying stock follow a NIG process. -
Global Buckling Reliability Analysis of Slender Network Arch Bridges: An Application of Monte Carlo-Based Estimation by Optimized Fitting
Rønnquist, Anders; Næss, Arvid (Chapter, 2017)Network arch bridges are extremely slender bridge structures with a very efficient 16 load-carrying structure. This configuration can carry loads that are several times greater 17 than traditional tied-arch bridges with ... -
Ice rose diagrams for probabilistic characterization of the ice drift behavior in the Beaufort Sea
Sinsabvarodom, Chana; Chai, Wei; Leira, Bernt Johan; Høyland, Knut Vilhelm; Næss, Arvid (Journal article; Peer reviewed, 2022) -
Improving extreme anchor tension prediction of a 10-MW floating semi-submersible type wind turbine, using highly correlated surge motion record
Gaidai, Oleg; Xing, Yihan; Wang, Fang; Wang, Shuaishuai; Yan, Ping; Næss, Arvid (Peer reviewed; Journal article, 2022)Extreme value prediction of the load-effect responses of complex offshore structures such as the floating wind turbine (FWT) is crucial in ultimate limit state (ULS) design. This paper considers two cases to understand the ... -
Lévy Processes and Path Integral Methods with Applications in the Energy Markets
Oshaug, Christian A. J. (Master thesis, 2011)The objective of this thesis was to explore methods for valuation of derivatives in energy markets. One aim was to determine whether the Normal inverse Gaussian distributions would be better suited for modelling energy ... -
Long-term extreme response and reliability of a vessel rolling in random beam seas
Chai, Wei; Næss, Arvid; Leira, Bernt Johan (Journal article; Peer reviewed, 2018)In this paper, the long-term extreme response of a vessel rolling in random beam seas and the associated reliability evaluation are addressed. The long-term response analysis is based on the upcrossing rates of the roll ... -
Methods for Extreme Value Statistics Based on Measured Time Series
Haug, Even (Master thesis, 2008)The thesis describes the Average Exceedance Rate (AER) method, which is a method for predicting return levels from sampled time series. The AER method is an alternative to the Peaks over threshold (POT) method, which is ... -
Modeling and Calibration of Electricity Price Dynamics for Derivatives Valuation
Nybakk, Ewa (Master thesis, 2013)The objective of this thesis is to model electricity price dynamics and use the results to valuate derivatives. Electricity prices are known to display features such as spikes, seasonality and jumps, leading to large ... -
Multivariate log-concave probability density class for structural reliability applications
Faridafshin, Farzad; Næss, Arvid (Journal article; Peer reviewed, 2017)Structural reliability analysis is conventionally based on a description of uncertainty via a joint probability density function (JPDF). This paper builds on an alternative concept of working with a probability distribution ... -
A novel design approach for estimation of extreme responses of a subsea shuttle tanker hovering in ocean current considering aft thruster failure
Xing, Yihan; Gaidai, Oleg; Ma, Yucong; Næss, Arvid; Wang, Fang (Peer reviewed; Journal article, 2022)The subsea shuttle tanker (SST) is an innovative 33 600-ton underwater cargo tanker designed to transport CO2 to marginal fields. During offloading, the SST will approach and hover in the vicinity of the subsea well. A ... -
Numerical Path Integration Applied to Options under the Normal Inverse Gaussian Market Model: Pricing path dependent options on Nord Pool electricity forwards when assuming normal inverse Gaussian dynamics by numerical path integration
Haugstvedt, Daniel (Master thesis, 2010)In citeasnoun{SkaugNaess2007} Path integration (PI) was used on discretely monitored barriers options with a log normal return. Compared to the trinomial three used in citeasnoun{BroadieEtAl1997} it is an order of magnitude ... -
Numerical Path Integration for Lévy Driven Stochastic Differential Equations
Kleppe, Tore Selland (Master thesis, 2006)Some theory on Lévy processes and stochastic differential equations driven by Lévy processes is reviewed. Inverse Fast Fourier Transform routines are applied to compute the density of the increments of Lévy processes. We ... -
Numerical Path Integration for Lévy Driven Stochastic Differential Equations
Kleppe, Tore Selland (Master thesis, 2006)Some theory on Lévy processes and stochastic differential equations driven by Lévy processes is reviewed. Inverse Fast Fourier Transform routines are applied to compute the density of the increments of Lévy processes. We ... -
Numerical Solution of Stochastic Differential Equations by use of Path Integration: A study of a stochastic Lotka-Volterra model
Halvorsen, Gaute (Master thesis, 2011)Some theory of real and stochastic analysis in order to introduce the Path Integration method in terms of stochastic operators. A theorem presenting sufficient conditions for convergence of the Path Integration method is ... -
Numerisk løsning av stokastiske differensialligninger ved bruk av path integration
Pedersen, Nils-Andre (Master thesis, 2009)I denne oppgaven har vi undersøkt egenskapene til Numerisk Path Integration for stokastiske differensialligninger man finner innen finans. Vi har implementert PI og testet det i forhold til presisjon og effektivitet. Vi ... -
Numeriske Løsninger av Stokastiske Differensialligninger
Nesvold, Erik (Master thesis, 2010)PI by FFT har blitt implementert og sammenlignet med tre andre numeriske løsere på to 2D-modeller av partikkelakselleratorer. Løsningen med differenseskjema krever en transformasjon til den tilhørende Fokker-Planck-ligningen, ...