Now showing items 12695-12714 of 17704

  • Dahl, Kristina Rognlien (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2013)
    We consider the pricing problem of a seller with delayed price information. By using Lagrange duality, a dual problem is derived, and it is proved that there is no duality gap. This gives a characterization of the seller’s ...
  • Benth, Fred Espen (Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2021)
    Operating in energy and commodity markets require a management of risk using derivative products such as forward and futures, as well as options on these. Many of the popular stochastic models for spot dynamics and weather ...
  • Benth, Fred Espen; Khedher, Asma; Vanmaele, Michèle (Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2020)
    Spot option prices, forwards and options on forwards relevant for the commodity markets are computed when the underlying process S is modelled as an exponential of a process ξ with memory as, e.g., a Volterra equation ...
  • Benth, Fred Espen; Koekebakker, Steen (Journal article / Tidsskriftartikkel / SubmittedVersion, 2015)
    We analyze cointegration in commodity markets, and propose a parametric class of pricing measures which preserves cointegration for forward prices with fixed time to maturity. We present explicit expressions for the term ...
  • Rubtsov, Mark (Research report / Forskningsrapport, 2010)
    This paper investigates a problem arising in asset-liability management in life insurance. As shown by other authors, an insurance company can guarantee its solvency by purchasing a Margrabe option enabling it to exchange ...
  • Simonsen, Iben Cathrine (Master thesis / Masteroppgave, 2012)
    The objective of this thesis is to value spread options with payoff function on the form max(S_1(T)-hS_2(T)-K,0), where S_1(T) and S_2(T) are the spot prices of two energy commodities at maturity time T, h is the heatrate ...
  • Ai, Qi (Master thesis / Masteroppgave, 2014)
    The main scope of this thesis is to implement a structured numerical analysis to check the exactness and applicability of the famous Kirk formula (1995) and the newer Bjerksund-Stensland formula (2011) widely used by energy ...
  • Benth, Fred Espen; Di Nunno, Giulia; Khedher, Asma; Schmeck, Maren Diane (Research report / Forskningsrapport, 2012)
    We study the pricing of spread options. We consider a bivariate jump-diffusion model for the price process and we obtain a Margrabe type formula for the evaluation of the spread option. Moreover, we consider models in which ...
  • You, Elena (Master thesis / Masteroppgave, 2017)
    In this thesis we analyze spread functions in the cointegrated market, with dynamics based on different combinations of Brownian motions and Ornstein-Uhlenbeck processes, and their structural differences. Theoretical and ...
  • Che Taib, Che Mohd Imran; Benth, Fred Espen (Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2012)
    The aim of this paper is to study pricing of weather insurance contracts based on temperature indices. Three different pricing methods are analysed: the classical burn approach, index modelling and temperature modelling. ...
  • Taib, Che Mohd Imran Che; Benth, Fred Espen (Research report / Forskningsrapport, 2011)
    The aim of this paper is to study pricing of weather insurance contracts based on temperature indices. Three different pricing methods are analysed: the classical burn approach, index modelling and temperature modelling. ...
  • Bakke, Jan Aleksander Olsen (Master thesis / Masteroppgave, 2018)
    This master thesis will demonstrate how to price perpetual American options with linear programming. American options are used both for hedging and speculation, and being able to price derivatives, without creating arbitrage ...
  • Torske, Solveig (Master thesis / Masteroppgave, 2015)
    The purpose of this thesis is to study the pricing of mortality risk in life annuities, when using the so-called Wang s Transform which is popular in certain quarters of actuarial science. This is a distortion operator ...
  • Zimmermann, Christian; Rønning, Vegard; Frodason, Ymir Kalmann; Bobal, Viktor; Varley, Joel B; Vines, Lasse (Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2020)
    A steady-state photocapacitance (SSPC) setup directly connected to the beamline of a MeV ion implanter is utilized to study primary intrinsic defects in β–Ga2O3 generated by He implantation at cryogenic temperatures (120 ...
  • Scholz, P.; Guttormsen, Magne Sveen; Larsen, Ann-Cecilie; Mayer, J.; Savran, D.; Tveten, Gry Merete; Voinov, A.V.; Zeiser, Fabio (Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2020)
    Background: Reaction rates of radiative capture reactions can play a crucial role in the nucleosynthesis of heavy nuclei in explosive stellar environments. These reaction rates depend strongly on γ-ray decay widths in the ...
  • Komrakov, Boris (Research report / Forskningsrapport, 1993)
  • Tveiten, Lars Andreas van Woensel Kooy (Master thesis / Masteroppgave, 2017)
    The main goal of this thesis is to reproduce the article [SW16] by Sims and Williams, categorising the primitive ideal space of the class of Deaconu- Renault groupoid C*-algebras generated by N_0^k-actions. We go through ...
  • Komrakov, Boris (Research report / Forskningsrapport, 1995)
  • Komrakov, Boris (Research report / Forskningsrapport, 1995)