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Now showing items 1-10 of 15
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2012)
In this paper, we study backward stochastic differential equations (BSDEs) with respect to general filtrations. We prove existence and uniqueness theorems for such BSDEs and we establish a comparison theorem. Reflected ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2012)
The single auction equilibrium of Kyle’s (1985) is studied, in which noise traders may be partially informed, or alternatively they can be manipulated. Unlike Kyle’s assumption that the quantity traded by the noise traders ...
(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2012)
We study partial information, possibly non-Markovian, singular stochastic control of Itô--Lévy processes and obtain general maximum principles. The results are used to find connections between singular stochastic control, ...
(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. ...
(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2012)
We show experimental evidence that as relatively long unidirectional waves propagate over a sloping bottom, from a deeper to a shallower domain, there can be a local maximum of kurtosis and skewness close to the shallower ...
(Journal article / Tidsskriftartikkel / SubmittedVersion, 2012)
We study the robustness of options prices to model variation in a multidimensional jump-diffusion framework. In particular, we consider price dynamics in which small variations are modeled either by a Poisson random measure ...
(Journal article / Tidsskriftartikkel / SubmittedVersion, 2012)
In this paper we present a stochastic model for daily average temperature. The model contains seasonality, a low-order autoregressive component and a variance describing the heteroskedastic residuals. The model is estimated ...
(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2012)
On 11 March 2011 the Tohoku tsunami devastated the east coast of Japan, claiming thousands of casualties and destroying coastal settlements and infrastructure. In this paper tsunami generation, propagation, and inundation ...
(Journal article / Tidsskriftartikkel / SubmittedVersion, 2012)
We study the geometry underlying the difference between non-negative polynomials and sums of squares (SOS). The hypersurfaces that discriminate these two cones for ternary sextics and quaternary quartics are shown to be ...
(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2012)
Atlantic salmon populations are reported to be declining throughout its range, raising major management concerns. Variation in adult fish abundance may be due to variation in survival, growth, and timing of life history ...