Now showing items 1-10 of 1680
(Research report / Forskningsrapport, 1982)
A QUASI-MONTE CARLO ALGORITHM FOR THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND VALUATION OF FINANCIAL DERIVATIVES
(Research report / Forskningsrapport, 2005)
We propose a quasi-Monte Carlo (qMC) algorithm to simulate variates from the normal inverse Gaussian (NIG) distribution. The algorithm is based on a Monte Carlo technique found in the Rydberg reference, and is based on ...
Matematika kaj stokastika terminaro Esperanta (dictionary of mathematical and statistical terms in Esperanto)
(Research report / Forskningsrapport, 1987)
(Research report / Forskningsrapport, 1992)
(Research report / Forskningsrapport, 2002)
We develop a white noise theory for Poisson random measures associated with a Lévy process. The starting point of this theory is a chaos expansion with kernels of polynomial type. We use this to construct the white noise ...
Have the natural sciences and technology forgotten ethical perspectives and become disciplines for unaware nerds?
(Research report / Forskningsrapport, 2000)
(Research report / Forskningsrapport, 2003)
Structural frame systems may be analyzed and designed based on forces from conventional first order theory when second order effects of axial forces on displacements in the compression members of the system are negligible. ...
(Research report / Forskningsrapport, 2006)
Tidevannsstrømmen i Tjeldsundet og Ramsundet i Ofoten er simulert med en numerisk havmodell med horisontal gitteroppløsning 25-50 meter. Middelstrømmen i vannsøylen er beregnet for de tre viktigste halvdaglige ...
SIMULATION OF VOLATILITY MODULATED VOLTERRA PROCESSES USING HYPERBOLIC STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS
(Research report / Forskningsrapport, 2013)
We propose a finite difference scheme to simulate solutions to a certain type of hyperbolic stochastic partial differential equation (SPDE). These solutions can in turn estimate so called volatility modulated Volterra (VMV) ...
(Research report / Forskningsrapport, 2009)
New current modified Schrödinger equations are derived suited to study waves on both potential and non-potential inhomogeneous currents. Split-step schemes of first, second, and fourth order are discussed. Different results ...