Results 121 to 130 of about 2,168,026 (221)
Smart Monte Carlo: Various tricks using Malliavin calculus [PDF]
Current Monte Carlo pricing engines may face computational challenge for the Greeks, because of not only their time consumption but also their poor convergence when using a finite difference estimate with a brute force perturbation.
Eric Benhamou
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SMCTC: Sequential Monte Carlo in C++ [PDF]
Sequential Monte Carlo methods are a very general class of Monte Carlo methods for sampling from sequences of distributions. Simple examples of these algorithms are used very widely in the tracking and signal processing literature.
Adam M. Johansen
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AxiomsWe investigate biased and unbiased Monte Carlo algorithms for solving Fredholm integral equations of the second kind and for estimating linear functionals of their solutions.
Venelin Todorov, Ivan Dimov
doaj +1 more source
Quasi-Monte Carlo Methods Applied to Tau-Leaping in Stochastic Biological Systems. [PDF]
Bull Math Biol, 2019 Beentjes CHL, Baker RE.
europepmc +1 more source
A Hardware Generator of Multi-point Distributed Random Numbers for Monte Carlo Simulation [PDF]
Monte Carlo simulation of weak approximations of stochastic differential equations constitutes an intensive computational task. In applications such as finance, for instance, to achieve "real time" execution, as often required, one needs highly efficient
Filippo Martini +3 more
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Monte Carlo extension of quasi-Monte Carlo [PDF]
1998 Winter Simulation Conference. Proceedings (Cat. No.98CH36274), 2002 openaire +2 more sources
Monte Carlo simulation of silicon-germanium transistors [PDF]
, 2002 Self-consistent Monte Carlo simulation studies of n-channel Si/SiGe modulation doped field effect transistors (MODFETs) and silicon-on-insulator lateral bipolar junction transistors (SOI- LBJTs) are reported in this thesis. As a preliminary to the device
Yangthiasong, Anucha +1 more
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SSJ User’s Guide Package hups
, 2007 This package provides classes implementing highly uniform point sets (HUPS) and tools for their randomization. These point sets can be used for quasi-Monte Carlo integration.
Tools For Quasi-monte Carlo
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The valuation of exotic barrier options and American options using Monte Carlo simulation [PDF]
Monte Carlo simulation is a widely used numerical method for valuing financial derivatives. It can be used to value high-dimensional options or complex path-dependent options.
Chirayukool, Pokpong
core
A quasi-Monte-Carlo comparison of parametric and semiparametric regression methods for heavy-tailed and non-normal data: an application to healthcare costs. [PDF]
J R Stat Soc Ser A Stat Soc, 2016 Jones AM, Lomas J, Moore PT, Rice N.
europepmc +1 more source