Results 1 to 10 of about 1,160,391 (297)
E-Jurnal Matematika, 2022 Estimating the value at risk (VaR) is an important aspect of investment. VaR is a standard method of measuring risk defined as the maximum loss over a certain period of time at a certain level of confidence.
PUTU SAVITRI DEVI +2 more
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IMPLEMENTATION OF MONTE CARLO MOMENT MATCHING METHOD FOR PRICING LOOKBACK FLOATING STRIKE OPTION
Barekeng, 2022 Monte Carlo method was a numerical method that was popular in finance. This method had disadvantages at convergences, so the moment matching was used to improve the efficiency from Monte Carlo method.
Komang Nonik Afsari Dewi +2 more
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JTCVS Open, 2021 Objectives: Despite coherent guidelines, management of functional tricuspid regurgitation (FTR) consequences on outcome in the context of degenerative mitral regurgitation (DMR) remains controversial due to lacking series of large magnitude with rigorous
Gilles D. Dreyfus, MD, PhD +7 more
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Density Estimation by Monte Carlo and Quasi-Monte Carlo
, 2022 Estimating the density of a continuous random variable X has been studied extensively in statistics, in the setting where n independent observations of X are given a priori and one wishes to estimate the density from that. Popular methods include histograms and kernel density estimators.
L'Ecuyer, P., Puchhammer, F.
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A HYBRID MONTE-CARLO-DETERMINISTIC METHOD FOR AP1000 EX-CORE DETECTOR RESPONSE SIMULATION [PDF]
EPJ Web of Conferences, 2021 The ex-core detector-response calculation is a typical deep-penetration problem, which is challenging for the Monte Carlo method. The response of the ex-core detector is an important parameter for the safe operation of the nuclear power plants. Meanwhile,
Zheng Qi +6 more
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Error in Monte Carlo, quasi-error in Quasi-Monte Carlo [PDF]
Computer Physics Communications, 2006 While the Quasi-Monte Carlo method of numerical integration achieves smaller integration error than standard Monte Carlo, its use in particle physics phenomenology has been hindered by the abscence of a reliable way to estimate that error. The standard Monte Carlo error estimator relies on the assumption that the points are generated independently of ...
Kleiss, R.H.P., Lazopoulos, A.
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PERHITUNGAN VaR PORTOFOLIO SAHAM MENGGUNAKAN DATA HISTORIS DAN DATA SIMULASI MONTE CARLO
E-Jurnal Matematika, 2012 Value at Risk (VaR) is the maximum potential loss on a portfolio based on the probability at a certain time. In this research, portfolio VaR values calculated from historical data and Monte Carlo simulation data.
WAYAN ARTHINI +2 more
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International Astronomical Union Colloquium, 1971 AbstractWe give here a detailed technical description of a Monte Carlo scheme for the dynamical evolution of spherical stellar systems. The philosophy of the method, as well as a few illustrative results, are given elsewhere (Hénon, 1971, hereafter called I).
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Frequency-resolved Monte Carlo
Scientific Reports, 2018 We adapt the Quantum Monte Carlo method to the cascaded formalism of quantum optics, allowing us to simulate the emission of photons of known energy. Statistical processing of the photon clicks thus collected agrees with the theory of frequency-resolved ...
Juan Camilo López Carreño +2 more
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