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(Doctoral thesis / Doktoravhandling, 2014)
(Master thesis / Masteroppgave, 2014)
In this thesis, we have studied the preselection bias that can occur when the number of covariates in a high dimensional regression problem is reduced prior to a high dimensional regression analysis like the lasso. Datasets ...
(Master thesis / Masteroppgave, 2014)
(Master thesis / Masteroppgave, 2014)
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2014)
This paper presents a nonconforming finite element approximation of the space of symmetric tensors with square integrable divergence, on tetrahedral meshes. Used for stress approximation together with the full space of ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2014)
We give a short introduction to the stochastic calculus for Itô-Lévy processes and review briefly the two main methods of optimal control of systems described by such processes:
(i) Dynamic programming and the ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2014)
In this paper an infinite-dimensional approach to model energy forward markets is introduced. Similar to the Heath–Jarrow–Morton framework in interest-rate modelling, a first-order hyperbolic stochastic partial differential ...
(Journal article / Tidsskriftartikkel / SubmittedVersion, 2014)
We study valuation of swing options on commodity markets when the commodity prices are driven by multiple factors. The factors are modeled as diffusion processes driven by a multidimensional Lévy process. We set up a ...
(Journal article / Tidsskriftartikkel / SubmittedVersion, 2014)
In this paper we propose a new modelling framework for electricity futures markets based on so-called ambit fields. The new model can capture many of the stylised facts observed in electricity futures and is highly ...
(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 ...