Sökning: "Stochastic Programming"

Visar resultat 11 - 15 av 54 uppsatser innehållade orden Stochastic Programming.

  1. 11. Hedging the Term Structure Risk of Carbon Allowance Derivatives : An Application of Stochastic Optimisation to EUA Market Making

    Master-uppsats, Linköpings universitet/Produktionsekonomi

    Författare :Nikolas Tsigkas; [2022]
    Nyckelord :Commodity Derivatives; Emissions Trading; Term Structure; Nonparametric Curve Estimation; Hedging; Stochastic Optimisation; Monte Carlosimulation; Market Microstructre; Systematic Risk Factors;

    Sammanfattning : The initiative by the EU to combat global warming through the introduction of a cap-and-trade system for greenhouse gas emissions in 2005, known as the EU Emissions Trading System (ETS), resulted in the inception of a new financial market. The right to emit one tonne of CO2-equivalents, as well as derivatives on this right, have become commodities, traded both through exchanges and over the counter. LÄS MER

  3. 12. Open Source Grid Expansion Models for the EU Project Spine

    Master-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Författare :Akshaya Tammanur Ravi; [2021]
    Nyckelord :Expansion Planning; Renewable Energy Sources; Operational Variability; Representative Days; Long-term Uncertainties; Stochastic Optimization; Utbyggnadsplanering; Förnybara energikällor; Variabel driftsituation; Representativa dagar; Långsiktiga osäkerheter; Stokastisk optimering;

    Sammanfattning : Modern power systems are at the forefront of addressing the transition towards a decarbonized energy system, with increased integration of renewable energy sources becoming the key means to achieve the same. In this context, an expansion planning problem provides a decision support framework for investments in new generation and transmission assets over a long time-frame, addressing a wide range of technical and economic criteria aligned with national policies. LÄS MER

  4. 13. Swap Book Hedging using Stochastic Optimisation with Realistic Risk Factors

    Master-uppsats, Linköpings universitet/Produktionsekonomi

    Författare :Rickard Nordin; Emil Mårtensson; [2021]
    Nyckelord :Term structure measurement; optimization; hedging; swap portfolio; interest rate swaps; stochastic programming; FRA; IRS; dimension reduction; component analysis; component decomposition; signal separation;

    Sammanfattning : Market makers such as large banks are exposed to market risk in fixed income by acting as a counterparty for customers that enter swap contracts. This master thesis addresses the problem of creating a cost-effective hedge for a realistic swap book of a market maker in a multiple yield curve setting. LÄS MER

  5. 14. Stochastic EM for generic topic modeling using probabilistic programming

    Master-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :Robin Saberi Nasseri; [2021]
    Nyckelord :SEM; topic model; probabilistic programming; LDA; DMR; TFP;

    Sammanfattning : Probabilistic topic models are a versatile class of models for discovering latent themes in document collections through unsupervised learning. Conventional inferential methods lack the scaling capabilities necessary for extensions to large-scale applications. LÄS MER

  7. 15. Optimisation of the Distribution of COVID-19 Vaccines

    Kandidat-uppsats, KTH/Matematisk statistik

    Författare :Paula Isacson; Daniel Maslov; [2021]
    Nyckelord :Mixed-integer program; stochastic program; supply chain management; reliability; Blandad heltalsprogrammering; stokastisk programmering; logistik av försörjningskedja; tillförlitlighet;

    Sammanfattning : This paper explores how to optimally distribute vaccines by deciding what middle warehouses to use for storage. For this purpose, a network has been designed with a central warehouse, a set of middle warehouses and a set of local hospitals. LÄS MER