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Stochastic optimization is a popular modeling paradigm for decision-making under uncertainty and has a wide spectrum of applications in management science, economics and engineering. However, the stochastic optimization models one faces in practice are int ...
This thesis studies the valuation and hedging of financial derivatives, which is fundamental for trading and risk-management operations in financial institutions. The three chapters in this thesis deal with derivatives whose payoffs are linked to interest ...
Most current risk assessment for complex extreme events relies on catalogues of similar events, either historical or generated artificially. In the latter, no existing methods produce completely new events with mathematically justified extrapolation above ...
Ambient concentrations of ice-forming particles measured during ship expeditions are collected and summarised with the aim of determining the spatial distribution and variability in ice nuclei in oceanic regions. The presented data from literature and prev ...
As one of the Web's primary multilingual knowledge sources, Wikipedia is read by millions of people across the globe every day. Despite this global readership, little is known about why users read Wikipedia's various language editions. To bridge this gap, ...
Travel time distributions (TTDs) are concise descriptions of transport processes in catchments based on water ages, and they are particularly efficient as lumped hydrological models to simulate tracers in outflows. Past studies have approximated catchment ...
We consider the problem of controlling heteroge-neous controllable resources of a distribution network with the objective of achieving a certain power flow at the grid connection point while respecting local grid constraints. The problem is formulated as a ...
Given two probability measures P and Q and an event E, we provide bounds on P(E) in terms of Q(E) and f-divergences. In particular, the bounds are instantiated when the measures considered are a joint distribution and the corresponding product of marginals ...
In this paper we derive a series expansion for the price of a continuously sampled arithmetic Asian option in the Black-Scholes setting. The expansion is based on polynomials that are orthogonal with respect to the log-normal distribution. All terms in the ...
Spatially non-local aspects of turbulent transport in tokamak plasmas are examined with global gyrokinetic simulations using the ORB5 code. Inspired by very accurate measurements in the TCV tokamak in L-mode, we initialise plasma profiles with constant log ...