Blar i NTNU Open på forfatter "Næss, Arvid"
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The Numerical Path Integration Method for Stochastic Differential Equations
Chen, Linghua (Doctoral thesis at NTNU;2016:219, Doctoral thesis, 2016) -
The use of extreme value statistics for calculating risk measures in finance
Malafosse, Thibaut (Master thesis, 2018)Whatever his strategy is, an investor has to know the risk he will deal with in taking a short or long position on an asset or a derivative. On the financial market, the Value at Risk is one of the values used to evaluate ... -
The use of extreme value statistics in risk management of the electricity market
Owusu, Ampem Darko (Master thesis, 2013)In this thesis, we investigate the success of extreme value theory in managing electricity price risk. We specifically deals with the behaviour of the tails of financial time series.The theory provides well established ... -
Uncertainty assessments of structural loading due to frst year ice based on the ISO standard by using Monte-Carlo simulation
Sinsabvarodom, Chana; Chai, Wei; Leira, Bernt Johan; Høyland, Knut Vilhelm; Næss, Arvid (Peer reviewed; Journal article, 2020)Sea ice is the major source of loading for structural design in cold regions. The intrinsic properties of sea ice are generally associated with high degrees of uncertainty due to ice growth taking place during different ... -
VaR Estimation for Crude Oil Data via Different Approaches: Historical Simulations, EVT Model, and ACER Method
Nguyen, Trang (Master thesis, 2018)This thesis implements different approaches to predict the one-day ahead Value at Risk (VaR) of crude oil return data. The Historical Simulation (HS) approach, a non-parametric model, randomly resamples past observations ...