Monte Carlo simulation techniques
Pricing Callable Bonds Based on Monte Carlo Simulation Techniques
... There are some different approaches for pricing call- able bonds. The first approach is based on the Black- Derman-Toy model, which was presented in [1] (2006), with the discrete simulation of binary tree. With ...
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Adaptive Multilevel Splitting for Monte Carlo particle transport
... the Monte Carlo simulation of particle transport, and especially for shielding applications, vari- ance reduction techniques are widely used to help simulate realisations of rare events and ...
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Evaluation of Techniques for Univariate Normality Test Using Monte Carlo Simulation
... The P-value was used in the study of sensitivity of normality testing techniques considered. In statistical analysis, the p-value defines the point at which the test starts being significant. The decision rule is ...
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Analyze Monte Carlo Simulation Applications for Project Management
... Risk may be outlined because the event that negatively affects the project objectives like time and schedule, cost, quality of labor. Risk Management is that the method of distinguishing the potential risk related to ...
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Monte Carlo Simulation in Radionuclide Therapy Dosimetry
... MC simulation, different tools are used for modeling realistic clinical acquisitions with accurate dose ...the simulation of nuclear medicine data be ever closer to actual patient ...data. Simulation ...
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Monte Carlo simulation as a service in the Cloud
... software simulation to calculate risk and pricing using techniques like Monte Carlo simulation take hours to complete (MacKenzie and Spears, ...2012). Techniques such as the ...
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Monte carlo simulation of the CGMY process and option pricing
... 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 driven underlying ...
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COMPARATIVE STUDY OF PARAMETRIC AND NON-PERAMETRIC VALUE AT RISK (VaR) METHODS
... historical simulation and Monte-Carlo simulation to calculate VaR, and assess suitability of these methods for risk measurement of equity ...the techniques used to collect the data, ...
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Optimal Mortgage Refinancing Based on Monte Carlo Simulation
... analytical techniques for characterizing option contracts, if possible, usually require mathematically strong and sometimes parameter sensitive properties attached to the formulation of the problem, such as the ...
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Research on cold chain in food industry in China
... Monte Carlo analysis has played an important role for many years in the investigation of statistical estimators whose properties cannot be adequately determined through mathematical techniques ...
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Monte Carlo Simulation and Improvement of Variance Reduction Techniques
... of Monte Carlo ...introduce Monte Carlo simulation firstly; then enumerate several commonly used methods of variance reduction and furtherly combine them to study whether it improves ...
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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, ...
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Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff
... Independent work by Avikainen also provides analysis that is relevant to the multi-level Monte Carlo method. The results in [1] extend material in section 3 by providing a better upper bound for a broader ...
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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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Exact Monte Carlo simulation of killed diffusions
... In principle, when using Monte Carlo simulation, many trajectories of X are generated and the value of the functional is evaluated at each sample path. Av- eraging over all paths provides then an ...
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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 with ...
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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 the ...
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Implementation of Board Games Using Monte Carlo Simulation
... ABSTRACT: Monte Carlo simulation is a problem solving technique that is used to approximate the probability of certain outcomes based on running simulations multiple ...A Monte Carlo ...
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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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