Blar i Institutt for matematiske fag på emneord "Matematiske fag, Anvendt matematikk"
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Estimation and Comparison of "Value atRisk" of crude oil prices using HistoricalSimulation, GARCH and GPD methods
(Master thesis, 2017)My results indicate that conditional Extreme Value Theory and Filtered Historical Simulation procedures offer a major improvement over the traditional methods (non-parametric and parametric). Such models produce a VaR which ... -
Factor screening in a 12 Run Plackett-Burman design assuming four active factors
(Master thesis, 2016)In this thesis we perform factor screening in a non-regular two-level design by reducing the number of possible sets of active factors to a certain number. The 12 Run Plackett-Burman(PB) design with four active factors is ... -
Mathematical modeling and numerical study of viscous fingering
(Master thesis, 2018)The main goal of the thesis is to simulate and analyze non-linear partial differential equations effeciently in Matlab. Immiscible displacement of oil by water in porous media is simulated and analyzed in Matlab. We ... -
Resonances and Constructions of Fatou-Bieberbach Maps
(Master thesis, 2016)We study and analyze a proof of a theorem by Rosay and Rudin on the Fatou-Bieberbach method of constructing biholomorphic images of Cn in Cn, starting with an automorphism with an attracting xed point. We thoroughly ... -
The use of extreme value statistics for calculating risk measures in finance
(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 ...