The Monte Carlo simulation is used to predict the potential outcomes of an uncertain event. It is applied across many fields including finance. Among other things, the simulation is used to build and manage investment portfolios, set budgets, and price fixed income securities, stock options, and ...
PURPOSE:To precisely generate a distribution of simulation particles by dividing the density weight of particles corresponding to the probability of scattering into a state after reachable scattering and performing distribution into the reachable state. CONSTITUTION:Once a free run ends, respective ...
Monte Carlo simulation (MCS) is one technique that helps to reduce the uncertainty involved in estimating future outcomes. MCS can be applied to complex, non-linear models or used to evaluate the accuracy and performance of other models. It can also be implemented in risk management, portfolio ...
出版社:Wiley 出版年:2016-11-7 页数:432 定价:USD 130.00 装帧:Hardcover ISBN:9781118632161 豆瓣评分 评价人数不足 评价: 写笔记 写书评 加入购书单 分享到 推荐 内容简介· ··· This accessible new edition explores the major topics in Monte Carlo simulation that have arisen over the past 30 years...
该工作的主要贡献在于提出了一种高效的蒙特卡洛模拟(Monte-Carlo Simulation,MCS)方案,可用于快速模拟局部波动率增强下的Heston随机波动率(Heston Stochastic-Local Volatility,HestonSLV)模型。此混合模型结合了随机波动率(Stochastic Volatility,SV)模型以及局部波动率(Local Volatility,LV)模型的优点,将LV作为“补偿器(Comp...
小木虫论坛-学术科研互动平台 » 计算模拟区 » 分子模拟 » Monte Carlo » SIMULATION AND THE MONTE CARL0 METHOD 蒙托卡罗法及仿真 60 6/2 返回列表 上一页 1 2 查看: 2668 | 回复: 59 只看楼主@他人 存档 新回复提醒 (忽略) 收藏 在APP中查看 相关版块跳转 分子模拟 我要订阅楼主 ting...
摘要: 蒙特卡洛模拟法是风险分析中的一种常用方法, 运用此法可以定量描述各个备选方案下评价指标的统计特征值, 统计分析结果为项目在不确定环境中投资决策提供了依据。 本文结合实例介绍了此法在工程项目风险决策中的应用。关键词: 蒙特卡洛模拟; 风险决策; 应用蒙特卡洛模拟在工程项目风险决策中1蒙特卡洛方法简介嘲的应...
Simulation and the Monte-Carlo method. Wiley, New York, 1981.Rubinstein RY, Kroese DP. Simulation and the Monte-Carlo method. Second ed.Wiley; 2008.R.Rubinstein, Simulation and the Monte-carlo Method, J.Wiley &... B Martinie - 《Physics》 被引量: 25发表: 2008年 Monte-Carlo Method ...
Simulation and the Monte-Carlo method:R. Y. Rubinstein, Wiley, 1981, 278 pp Author links open overlay panel Show more Add to Mendeley Share Cite https://doi.org/10.1016/0001-8708(86)90009-5Get rights and content Under an Elsevieruser license ...
Monte Carlo simulation to calculate MRP value function procedure Monte Carlo Evaluation (M,s,t,N) i\leftarrow 0,G_t\leftarrow 0 while i\neq N do Generate an episode, starting from state s and time t Using the generated episode, calculate return g\leftarrow \mathop{\sum}\limits_{...