Sökning: "Value-at-Risk"

Visar resultat 16 - 20 av 23 avhandlingar innehållade ordet Value-at-Risk.

  1. 16. On large deviations and design of efficient importance sampling algorithms

    Författare :Pierre Nyquist; Henrik Hult; Sandeep Juneja; KTH; []
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Large deviations; Monte Carlo methods; importance sampling;

    Sammanfattning : This thesis consists of four papers, presented in Chapters 2-5, on the topics large deviations and stochastic simulation, particularly importance sampling. The four papers make theoretical contributions to the development of a new approach for analyzing efficiency of importance sampling algorithms by means of large deviation theory, and to the design of efficient algorithms using the subsolution approach developed by Dupuis and Wang (2007). LÄS MER

  3. 17. Electricity markets operation planning with risk-averse agents: stochastic decomposition and equilibium

    Författare :Nenad Jovanovic; KTH; []
    Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; decomposition techniques; market equilibrium; risk-averse agents; stochastic optimization;

    Sammanfattning : The growing penetration of renewable energy sources in electricity systems requires adapting operation models to face the inherent variability and uncertainty of wind or solar generation. In addition, the volatility of fuel prices (such as natural gas) or the uncertainty of the hydraulic natural inflows requires to take into account all these sources of uncertainty within the operation planning of the generation system. LÄS MER

  4. 18. Essays on VIX Futures and Options

    Författare :Bujar Huskaj; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; NIG; Long memory; Futures; FIGARCH; FIAPARCH; Options; Realized volatility; VaR; VIX; Volume;

    Sammanfattning : This thesis consists of three essays on VIX futures and options, and deals with issues highly relevant to all financial markets, such as understanding the operation of markets and developing flexible and tractable pricing models for contracts traded in them. It consists of four chapters. LÄS MER

  5. 19. Variability and variation management in a renewable electricity system -large-scale wind- and solar power deployment in Europe

    Författare :Lina Reichenberg; Chalmers tekniska högskola; []
    Nyckelord :TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; marginal cost of electricity; VRE; variability smoothing; solar power; power systems; renewable energy; wind power; energy systems modelling;

    Sammanfattning : The large-scale deployment of wind and solar power poses challenges to the electricity system by introducing variability on the generation side. To handle these variations, variation management strategies can be employed to ensure that generation meets demand. LÄS MER

  7. 20. Mathematical Optimization of HDR Brachytherapy

    Författare :Åsa Holm; Torbjörn Larsson; Åsa Carlsson Tedgren; Jeroen Beliën; Linköpings universitet; []
    Nyckelord :;

    Sammanfattning : One out of eight deaths throughout the world is due to cancer. Developing new treatments and improving existing treatments is hence of major importance. In this thesis we have studied how mathematical optimization can be used to improve an existing treatment method: high-dose-rate (HDR) brachytherapy. LÄS MER