Results 21 to 30 of about 12,230 (257)
E-Jurnal Matematika, 2017 Contract options are the most important part of an investment strategy. An option is a contract that entitles the owner or holder to sell an asset on a designated maturity date.
DEWA AYU AGUNG PUTRI RATNASARI +2 more
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Advances in Neural Information Processing Systems 36, 2023 Langevin Monte Carlo (LMC) and its stochastic gradient versions are powerful algorithms for sampling from complex high-dimensional distributions. To sample from a distribution with density $π(θ)\propto \exp(-U(θ)) $, LMC iteratively generates the next sample by taking a step in the gradient direction $\nabla U$ with added Gaussian perturbations ...
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Quasi-Monte Carlo for finance applications [PDF]
ANZIAM Journal, 2008 Monte Carlo methods are used extensively in computational finance to estimate the price of financial derivative options. We review the use of quasi-Monte Carlo methods to obtain the same accuracy at a much lower computational cost, and focus on three key ingredients: the generation of Sobol' and lattice points, reduction of effective dimension using ...
Giles, M +3 more
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Quasi Monte Carlo time-frequency analysis
Journal of Mathematical Analysis and Applications, 2023 We study signal processing tasks in which the signal is mapped via some generalized time-frequency transform to a higher dimensional time-frequency space, processed there, and synthesized to an output signal. We show how to approximate such methods using a quasi-Monte Carlo (QMC) approach.
Levie, Ron +2 more
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Quasi-Monte Carlo simulation of Brownian sheet with application to option pricing
Statistical Theory and Related Fields, 2017 Monte Carlo and quasi-Monte Carlo methods are widely used in scientific studies. As quasi-Monte Carlo simulations have advantage over ordinary Monte Carlo methods, this paper proposes a new quasi-Monte Carlo method to simulate Brownian sheet via its ...
Xinyu Song, Yazhen Wang
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Algorithms, 2020 Civil engineering applications are often characterized by a large uncertainty on the material parameters. Discretization of the underlying equations is typically done by means of the Galerkin Finite Element method. The uncertain material parameter can be
Philippe Blondeel +5 more
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Frontiers in Energy Research, 2023 Two different approaches are widely accepted for transient Monte Carlo (MC) simulation namely the Dynamic Monte Carlo (DMC) and the Predictor-Corrector Quasi-Static Monte Carlo (PCQS-MC).
Taesuk Oh, Inyup Kim, Yonghee Kim
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E-Jurnal Matematika, 2014 Penelitian ini bertujuan untuk mengetahui keakuratan hasil simulasi harga saham untuk menentukan harga opsi call dari metode Monte Carlo dan metode Quasi Monte Carlo dengan menggunakan program Matlab.
I GUSTI PUTU NGURAH MAHAYOGA +2 more
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Comparison of Phase Space and Quasi-Monte Carlo Ray Tracing for the 3D Compound Parabolic Concentrator [PDF]
EPJ Web of ConferencesPhase space ray tracing is an alternative to (Quasi-)Monte Carlo ray tracing in 2D. We introduce a 3D phase space algorithm and apply it to the compound parabolic concentrator.
Jansen Willem +3 more
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Quasi-Monte Carlo Simulation of Diffusion
Journal of Complexity, 1999 A Monte Carlo method of random walk type is constructed to determine the solution of a diffusion equation. Upper bounds for the error and computational examples are given.
Lecot, Christian, El Khettabi, Faysal
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