A Bayesian framework for risk perception

We present here a Bayesian framework of risk perception. This framework encompasses plausibility judgments, decision making, and question asking. Plausibility judgments are modeled by way of Bayesian probability theory, decision making is modeled by way of a Bayesian decision theory, and relevancy judgments are modeled by way of a Bayesian...

Advanced Estimation of Credit Valuation Adjustment

Probabilistic scenario-based decision making for water resources planning and management

Uncertainty is an unavoidable part of decision making. Decisions always have to be made before perfect knowledge on their consequences is known. However, there is no ‘perfect knowledge’ in hindsight. To research uncertainty and take actions proactively becomes the challenge to scientists and decision makers. In water resources planning and...

Interest Rate Derivative Pricing with Stochastic Volatility

One purpose of exotic derivative pricing models is to enable financial institutions to quantify and manage their financial risk, arising from large books of portfolios. These portfolios consist of many non-standard exotic financial products. Risk is managed by means of the evaluation of sensitivity parameters, i.e. the so-called Greeks, the...

Expecting the unexpected: A study of interactive driving behaviour at intersections

Given the high number of encounters in traffic and the low number of accidents in which these result, it can be concluded that road users are quite good at interacting safely. To achieve a better understanding of this interactive behaviour, this thesis focused on road users' expectancies. In an explorative study, the aspects road users mention...