18 results with keyword: 'variance reduction techniques in monte carlo methods'
Keywords: common random numbers, antithetic random numbers, importance sampling, control variates, conditioning, strati ed sampling, splitting, quasi Monte Carlo.. JEL: C0,
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Keywords: Monte Carlo Method; Importance Sampling; Variance Reduction; Option
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Keywords: Stochastic Differential Equations, Diffusion Processes, Jump-Diffusion Processes, Monte Carlo Method, Variance Reduction Techniques, Multilevel Monte Carlo Method,
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If a particle contained a weight larger than the upper bound of the weight window then the particle would be split into additional particles, and if a particle contained a weight
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Class notes: Monte Carlo methods Week 2, Variance reduction.. Jonathan Goodman February
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Observing the results, we find in the calculation, antithetic variable method can reduce 96% of the variance effectively; control variable method has the best effect, in which
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This paper presents the theory and the methods to apply variance reduction techniques in the Monte-Carlo simulation of neutron noise experiments in a way that circumvents the above
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Our focus in this thesis is to implement the least squares Monte Carlo (including the variance reduction techniques and high bias from the dual method) and stochastic mesh methods
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Many special techniques for variance reduction: antithetic variables, control variates, stratified sampling, importance sampling, etc.. Recent developments: Quasi-Monte Carlo
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In this paper, by PDE method and Monte Carlo variance reduction techniques, the modeling and pricing of covariance swap derivatives under the correlated stochastic volatility
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Keywords : Monte Carlo simulation; Arithmetic Asian options; Variance reduction technique; Control variates;
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Keywords : Monte Carlo simulation; Arithmetic Asian options; Variance reduction technique; Control variates;
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To speed up the process there exist different variance reduction techniques and also Quasi Monte Carlo (QMC) simulation, where the integral is evaluated by using
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Suppose there are m factories called origins or sources produce aI (i=1,2……,m) units of products which are to be transported to n destinations with bJ (J=1,2,……,n) unity of
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Nuclear decommissioning takes place in several stages due to the radioactivity in the reactor structure materials. A good estimation of the neutron activation products distributed
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An educational practitioner preparation program that is operated by a school that applies to register the program in accordance with this chapter must be accredited by an agency
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Also, based on robust linear regression and multiple control variates method an alternative method is proposed.. Keywords: Antithetic variates(AV); Multiple control variates
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Several variance reduction techniques have been developed to improve the sam- pling of the Monte Carlo method: forced first scattering (Cashwell & Everett 1959), peel-o ff
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