Problémy stochastické optimalizace za neurčitosti, kvantitativní metody, simulace, aplikace na ohodnocení plynových zásobníků
This dissertation deals with heavy-tailed distributions and the problematics of stochastic dominance for stable distributions. In terms of stochastic dominance in the setup of stable distributions, we prove novel results which are mostly based on the domain of attraction of stable distributions. We...
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| Format: | Doctoral Thesis |
| Language: | English |
| Published: |
2016
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| Online Access: | http://www.nusl.cz/ntk/nusl-353460 |
| Summary: | This dissertation deals with heavy-tailed distributions and the problematics of stochastic dominance for stable distributions. In terms of stochastic dominance in the setup of stable distributions, we prove novel results which are mostly based on the domain of attraction of stable distributions. We introduce a bivariate sub-family of stable distributions, which can easily be simulated and used for the joint modelling of dependent data (such as spot and forward prices). The marginals of these bivariate distributions are stable and can have a different tail index. We also present our approach for parameter estimation of stable distributions. The theoretical results achieved are used for the valuation of gas storage units. In this part of the dissertation, we use stochastic dynamic programming to address this problem, and we present several algorithms. |
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