Monte-Carlo stochastic simulation
Nested Stochastic Valuation of Large Variable Annuity Portfolios: Monte Carlo Simulation and Synthetic Datasets
... nested stochastic projections for a large VA portfolio is highly computationally intensive and often prohibitive because every policy in the portfolio needs to be projected over many paths for a long time horizon ...
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Analysing multi-level Monte Carlo for options with non-globally Lipschitz payoff
... (Multilevel Monte Carlo path simulation Operations Research, 2008; 56: 607–617) introduced a multi-level Monte Carlo method for approximating the expected value of a function of a ...
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Appropriation of the ‘Witch’ Stigma as White Women's Self-Empowerment
... the stochastic simulation algorithm for chemi- cally reacting systems, we now turn our attention to how kinetic Monte Carlo methods may be applied to epitaxial ...
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Monte Carlo simulation as a service in the Cloud
... of Monte-Carlo simulations generates a large number of results which need to be assimilated into a single graph for which our service follows current finance industry practise and uses ...including ...
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Monte Carlo Simulation in Radionuclide Therapy Dosimetry
... Monte Carlo [MC] method is a modeling tool, capable of achieving a close adherence to reality, concerning the analysis of complex ...of simulation could be attributed to Compte Georges Louis Leclerc ...
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Comparing Markov Chain Samplers for Molecular Simulation
... Keywords: Markov chain Monte Carlo; stochastic dynamics integrators; decorrelation time; integrated.. 15.[r] ...
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Online Full Text
... a stochastic quantitative analysis has been performed using Monte Carlo Simulation (MCS) with the aim to determine the probability distribution of the contingency cost and the related level of ...
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Fast Monte Carlo Simulation for Pricing Covariance Swap under Correlated Stochastic Volatility Models
... correlated stochastic volatility assumption is ...on stochastic volatility model. The research on the stochastic volatility starts from the early ...of stochastic volatility was introduced by ...
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Multilevel Monte Carlo for stochastic differential equations with small noise
... to stochastic dif- ferential equations (SDEs) with small noise via Monte Carlo and multilevel Monte Carlo ...circuit simulation [3], modeling of signal propagation in neurons ...
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Monte Carlo sampling approach to stochastic programming
... Various stochastic programming problems can be formulated as problems of optimization of an expected value ...by Monte Carlo sampling ...applications, Monte Carlo simulation is ...
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Stochastic free vibration analysis of RC buildings
... loading. Stochastic analysis methods can represent this randomness in ...The Monte Carlo Simulation is a widely accepted method for stochastic structural analysis but the computational ...
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Monte Carlo Simulation of a Two-Factor Stochastic Volatility Model
... [1] R. E. Caflish, W. Morokoff, and A. B. Owen, Valu- ation of mortgage-backed securities using Brownian bridges to reduce effective dimension, The Journal of Computational Finance, 1 (1) (1997), pp.27-46. 3 [2] ...
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Mean exit times and the multilevel Monte Carlo method
... for stochastic differential equations are relatively inefficient when used to ap- proximate mean exit ...a Monte Carlo simulation leads to a computationally expensive ...
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Monte Carlo Pricing Scheme for a Stochastic-Local Volatility Model
... over Monte Carlo sample paths of the spot price (and variance under the SLV ...accurate Monte Carlo estimate of the option price, one can increase the number of sample paths that are used to ...
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MONTE-CARLO SIMULATION OF ROAD TRANSPORT EMISSION
... the Monte-Carlo simulation is an appropriate method that can be used to disaggregate the macroscopic data in order to provided microscopic data which are suitable for the assessment of regional ...
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Exact Monte Carlo simulation of killed diffusions
... to Monte Carlo methods to estimate ν . In this simulation study, we investigate the performance of the estimator of ν produced by the Exact Monte Carlo method (hereafter E ...a ...
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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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A New Approach to Monte Carlo Simulation of Operations
... Monte Carlo methods have been developed into a technique called Monte Carlo tree search [2] that is useful for searching for the best move in a ...moves. Monte Carlo Tree ...
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Monte carlo simulation of the CGMY process and option pricing
... existing Monte Carlo methods of Poirot and Tankov (PT) (Poirot and Tankov, 2006), Madan and Yor (MY) (Madan and Yor, 2008), Baeumer and Meerschaert (AR) (Baeumer and Meerschaert, 2010) and Rosi´ nski (SR) ...
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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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