Blar i Institutt for matematiske fag på forfatter "Westgaard, Sjur"
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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 ... -
On the Estimation of Extreme Values for Risk Assessment and Management: The ACER Method
Dahlen, Kai Erik; Solibakke, Per Bjarte; Westgaard, Sjur; Næss, Arvid (Journal article; Peer reviewed, 2015)In this paper we use an Average Conditional Exceedance Rate (ACER) method to model the tail of the price change distribution of daily spot prices in the Nordic electricity market, Nord Pool Spot. We use an AR-GARCH model ... -
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 ...