fast Monte-Carlo simulation
Fast Monte Carlo Simulation for Pricing Covariance Swap under Correlated Stochastic Volatility Models
... up Monte Carlo simulation, such as control variate, antithetic variables, importance sampling and stratification[7] have been proposed over the last few ...per Monte Carlo ...
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Exponentially fast Monte Carlo simulations for non equilibrium systems
... our fast technique, and it takes around four days of standard Monte Carlo simulation to obtain comparable statistics close to the boundary of at- ...
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Fast quantitative reconstruction with focusing collimators for liver SPECT
... The cone beam collimators may be prone to truncation artifacts. When a large frac- tion of activity is present outside the area that is imaged in most projections, this could result in incorrect quantification. The ...
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Monte carlo simulation of the CGMY process and option pricing
... very fast and accurate on pricing a wide range of single-asset derivative products with path-dependence and early-exercise features written on L´evy driven underlying price processes with known characteristic ...
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Monte Carlo Simulation in Radionuclide Therapy Dosimetry
... spectrum, more consistent differences may be obtained and can affect considerably dose depositions at small distances. Calculation of electron and isotopes dose point kernel has been the main subject of various studies ...
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Optimal Mortgage Refinancing Based on Monte Carlo Simulation
... As one of the most influential financial instruments in both the primary and secondary market, residential mortgage contract typically grants the borrower several options to facilitate his reacting to the market ...
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Efficient use of Monte Carlo: the fast correlation coefficient
... integral experiment). The cov(x,y) is the covariance between two parameters, e.g., the neutron fl ux at the energies E and E 0 . The cov(x, y) is determined as the sample covariance of the output from multiple simulations ...
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Option pricing under the double stochastic volatility with double jump model
... For an investor, using a power option is more useful than an ordinary option [5]. For this reason in this paper we investigate power option pricing under the double stochastic volatility with double jump. In fact we ...
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A fully parametric option in the LHCb simulation framework
... Fast simulation is crucial in LHC experiments to cope with the large amount of Monte Carlo statistics needed in the ...LHCb simulation framework Gauss and extended for LHCb with a ...
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Ultra-fast Carrier Transport Simulation on the Grid. Quasi-Random Approach
... In this paper we present quasirandom approach for ultrafast carrier transport simulation. Due to cor- relation, the direct quasirandom variants of Monte Carlo methods do not give adequate results. ...
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COMPARATIVE STUDY OF PARAMETRIC AND NON-PERAMETRIC VALUE AT RISK (VaR) METHODS
... & Simulation; Multimedia; Neural Systems/Neural Networks; Numerical Analysis/Scientific Computing; Object Oriented Programming; Operating Systems; Programming Languages; Robotics; Symbolic & Formal Logic; ...
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Topological analysis in Monte Carlo simulation for uncertainty propagation
... Global (top row) and top five most significant topological signatures vertical cross sections of information entropy uncertainty index models for the low-input data confidence run.... To[r] ...
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Probing the dynamic response of dense matter with x ray Thomson scattering
... The simulations suggest that a hot, high-density core of radius . 50 µm is formed at the centre of the imploding target following shock stagnation. This region reaches the extreme pressures ∼ 1 Gbar of interest to the ...
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Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff
... allow us to quantify an improvement in computational complexity when standard Monte Carlo is replaced by the multi-level version of [4]; they also explain the numerical results presented there. Promising ...
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Implementation of Board Games Using Monte Carlo Simulation
... The board for Snakes and Ladders is a 10x10 board numbered 1-100. On some squares there are ladders, and if you land on the specific square then you can move your piece up to where the ladder ends (for example, landing ...
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Estimation Of Minimum Counts For An Acceptable Pulse Shape Using Scintillation Detector From 200To 2000 Kev Energy
... particle simulation, if geometrical parameters of a detector and gamma sources are known ...a Monte Carlo method that uses a composition method if a condition is true, and rejection if the condition ...
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Monte Carlo Simulation for Statistical Decay of Compound Nucleus
... perform Monte Carlo simulations for neutron and γ -ray emissions from a compound nucleus based on the Hauser-Feshbach statistical ...This Monte Carlo Hauser-Feshbach (MCHF) method calculation, ...
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Monte Carlo Simulation and Improvement of Variance Reduction Techniques
... The transverse axis indicates the probability of falling within the 1/4 circle, and the longitudinal axis represents the frequency within each small probability interval. From the graph we can see obviously that the ...
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MONTE CARLO SIMULATION IN INTERNAL RADIOTHERAPY OF THYROID CANCER
... The energy values obtained from simulation are absorbed dose in target organ (D (T←S)). This states that if there is a source of radiation on the organ (S), and there is a target organ (T) which receives radiation ...
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Analyze Monte Carlo Simulation Applications for Project Management
... the Monte Carlo simulation method and its uses in various fields, focusing primarily on its use in the field of project ...management. Monte Carlo simulation becomes more popular ...
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