Monte Carlo numerical simulation
Multilevel and quasi Monte Carlo methods for uncertainty quantification in particle travel times through random heterogeneous porous media
... Many of the existing variance reduction methods built upon pseudo-random sequences, e.g. MLMC, are focused on reducing the overall computational cost of a numerical simulation. QMC methods aim to accelerate ...
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A New Approach to Monte Carlo Simulation of Operations
... Abstract—Monte Carlo simulation are a wide class of computational algorithms that use repeated random sampling to arrive at numerical ...a simulation is run repeatedly in order to ...
5
A Probabilistic Monte Carlo model for pricing discrete barrier options
... Numerical solutions use either lattice or MC simulation. Cox and Rubinstein (1985), Hudson (1992), Boyle and Lau (1994), Derman et al. (1995), Kat & Verdonk (1995), Ritchken (1995), and Cheuk and Vorst ...
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Monte carlo simulation of the CGMY process and option pricing
... years, numerical integration/transform techniques have proved 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 ...
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Option pricing under the double stochastic volatility with double jump model
... method, Monte Carlo simulation and numerical results using power call options ...i.e. Monte Carlo simulation and numerical results show that the fast Fourier ...
8
Optimal Mortgage Refinancing Based on Monte Carlo Simulation
... for numerical simulation. Numerical experimentation and discussion for finding the desirable refinancing time for debtors are provided in Section ...provide numerical experiments for model ...
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Black-Scholes option valuation for scientific computing students
... Mathematical finance forms a modern, attractive source of examples and case studies for classes in scientific computation. I will show here how the Nobel Prize winning Black–Scholes option valuation theory can be used to ...
15
Black-Scholes for scientific computing students
... Mathematical finance forms a modern, attractive source of examples and case studies for classes in scientific computation. I will show here how the Nobel Prize winning Black–Scholes option valuation theory can be used to ...
15
Life-cycle risk (damage stability) management of passenger ships
... on Monte Carlo (MC) sampling in conjunction with numerical flooding simulations (referred to subsequently as MC ...MC simulation is a viable technique for stability assessment in accordance ...
7
A Robotic CAD System using a Bayesian Framework
... Monte Carlo methods (MC) are powerful stochas- tic simulation techniques that may be applied to solve optimization and numerical integration problems in large dimensional ...1950s, ...
8
Numerical investigation of nanoporous evaporation using direct simulation Monte Carlo
... Evaporation is an effective cooling mechanism widely exploited in the thermal management of modern electronic devices, with a growing interest in the evaporation process in thin film based nanoporous membrane ...
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Multi asset Spread Option Pricing and Hedging
... high, numerical approaches, such as numerical integration method, numerical solutions to partial differential equations and Monte Carlo simulation, become extremely slow and ...
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Pricing a European Put Option by Numerical Methods
... two numerical techniques, that is, the Monte-Carlo simulation and the Crank-Nicolson finite difference ...the Monte-Carlo simulation method, the concept of a random walk ...
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MONTE CARLO SIMULATION IN INTERNAL RADIOTHERAPY OF THYROID CANCER
... The simulation used to determine the interaction of radiation particles and matter is a Monte Carlo ...of Monte Carlo software is MCNPX (Monte Carlo N-Particle) made by a ...
9
Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff
... Monte Carlo experiment. From the perspective of a confidence interval width, this error is O(1/ √ N ) [5]. Overall, we may regard µ as giving an accuracy of O(h) + O(1/ √ N ). To achieve a target accuracy ...
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Monte Carlo Simulation and Improvement of Variance Reduction Techniques
... The Application of the Variance Reduction Techniques on Estimating the Approximation of PI Monte Carlo simulation originated from Buffon needle experiments for the approximation of PI. Assumed that ...
9
COMPARATIVE STUDY OF PARAMETRIC AND NON-PERAMETRIC VALUE AT RISK (VaR) METHODS
... Investment nowadays is become a very hectic task. Most of the time people think about how much they can lose on their investment. Value at Risk is a way to give answer of these questions, at least within a reasonable ...
15
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 ...
5
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, ...
10
Probing the dynamic response of dense matter with x ray Thomson scattering
... • For partially ionized plasmas, it was shown that the DSF can be decomposed to recover the well-known expression of Chihara. The multicomponent generalisation of this model was adopted as the basic framework in order to ...
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