Monte Carlo Frameworks

Building Customisable High-performance C++ Applications

Author: Daniel J. Duffy,Joerg Kienitz

Publisher: John Wiley & Sons

ISBN: 0470684062

Category: Business & Economics

Page: 775

View: 3119

This is one of the first books that describe all the steps that are needed in order to analyze, design and implement Monte Carlo applications. It discusses the financial theory as well as the mathematical and numerical background that is needed to write flexible and efficient C++ code using state-of-the art design and system patterns, object-oriented and generic programming models in combination with standard libraries and tools. Includes a CD containing the source code for all examples. It is strongly advised that you experiment with the code by compiling it and extending it to suit your needs. Support is offered via a user forum on www.datasimfinancial.com where you can post queries and communicate with other purchasers of the book. This book is for those professionals who design and develop models in computational finance. This book assumes that you have a working knowledge of C ++.

Monte Carlo Strategies in Scientific Computing

Author: Jun S. Liu

Publisher: Springer Science & Business Media

ISBN: 0387763716

Category: Mathematics

Page: 344

View: 3646

This book provides a self-contained and up-to-date treatment of the Monte Carlo method and develops a common framework under which various Monte Carlo techniques can be "standardized" and compared. Given the interdisciplinary nature of the topics and a moderate prerequisite for the reader, this book should be of interest to a broad audience of quantitative researchers such as computational biologists, computer scientists, econometricians, engineers, probabilists, and statisticians. It can also be used as a textbook for a graduate-level course on Monte Carlo methods.

Monte Carlo Methods and Applications

Proceedings of the 8th IMACS Seminar on Monte Carlo Methods, August 29 – September 2, 2011, Borovets, Bulgaria

Author: Ivan Dimov,Karl K. Sabelfeld

Publisher: Walter de Gruyter

ISBN: 3110293587

Category: Mathematics

Page: 246

View: 4906

This is the proceedings of the "8th IMACS Seminar on Monte Carlo Methods" held from August 29 to September 2, 2011 in Borovets, Bulgaria, and organized by the Institute of Information and Communication Technologies of the Bulgarian Academy of Sciences in cooperation with the International Association for Mathematics and Computers in Simulation (IMACS). Included are 24 papers which cover all topics presented in the sessions of the seminar: stochastic computation and complexity of high dimensional problems, sensitivity analysis, high-performance computations for Monte Carlo applications, stochastic metaheuristics for optimization problems, sequential Monte Carlo methods for large-scale problems, semiconductor devices and nanostructures.

Monte Carlo Methods and Models in Finance and Insurance

Author: Ralf Korn,Elke Korn,Gerald Kroisandt

Publisher: CRC Press

ISBN: 9781420076196

Category: Mathematics

Page: 484

View: 9112

Offering a unique balance between applications and calculations, Monte Carlo Methods and Models in Finance and Insurance incorporates the application background of finance and insurance with the theory and applications of Monte Carlo methods. It presents recent methods and algorithms, including the multilevel Monte Carlo method, the statistical Romberg method, and the Heath–Platen estimator, as well as recent financial and actuarial models, such as the Cheyette and dynamic mortality models. The authors separately discuss Monte Carlo techniques, stochastic process basics, and the theoretical background and intuition behind financial and actuarial mathematics, before bringing the topics together to apply the Monte Carlo methods to areas of finance and insurance. This allows for the easy identification of standard Monte Carlo tools and for a detailed focus on the main principles of financial and insurance mathematics. The book describes high-level Monte Carlo methods for standard simulation and the simulation of stochastic processes with continuous and discontinuous paths. It also covers a wide selection of popular models in finance and insurance, from Black–Scholes to stochastic volatility to interest rate to dynamic mortality. Through its many numerical and graphical illustrations and simple, insightful examples, this book provides a deep understanding of the scope of Monte Carlo methods and their use in various financial situations. The intuitive presentation encourages readers to implement and further develop the simulation methods.

A Monte Carlo Primer

Author: Stephen A. Dupree,Stanley K. Fraley

Publisher: Springer Science & Business Media

ISBN: 9780306485039

Category: Science

Page: 230

View: 2155

In Volume 1, A Monte Carlo Primer - A Practical Approach to Radiation Transport (the "Primer"), we attempt to provide a simple, convenient, and step-by-step approach to the development, basic understanding, and use of Monte Carlo methods in radiation transport. Using the PC, the Primer begins by developing basic Monte Carlo codes to solve simple transport problems, then introduces a teaching tool, the Probabilistic Framework Code (PFC), as a standard platform for assembling, testing, and executing the various Monte Carlo techniques that are presented. This second volume attempts to continue this approach by using both custom Monte Carlo codes and PFC to apply the concepts explained in the Primer to obtain solutions to the exercises given at the end of each chapter in the Primer. A relatively modest number of exercises is included in the Primer. Some ambiguity is left in the statement of many of the exercises because the intent is not to have the user write a particular, uniquely correct piece of coding that produces a specific number as a result, but rather to encourage the user to think about the problems and develop further the concepts explained in the text. Because in most cases there is more than one way to solve a Monte Carlo transport problem, we believe that working with the concepts illustrated by the exercises is more important than obtaining anyone particular solution.

Introducing Monte Carlo Methods with R

Author: Christian Robert,George Casella

Publisher: Springer Science & Business Media

ISBN: 1441915753

Category: Computers

Page: 284

View: 3033

This book covers the main tools used in statistical simulation from a programmer’s point of view, explaining the R implementation of each simulation technique and providing the output for better understanding and comparison.

Modeling Derivatives in C++

Author: Justin London

Publisher: John Wiley & Sons

ISBN: 047168189X

Category: Business & Economics

Page: 840

View: 2339

This book is the definitive and most comprehensive guide to modeling derivatives in C++ today. Providing readers with not only the theory and math behind the models, as well as the fundamental concepts of financial engineering, but also actual robust object-oriented C++ code, this is a practical introduction to the most important derivative models used in practice today, including equity (standard and exotics including barrier, lookback, and Asian) and fixed income (bonds, caps, swaptions, swaps, credit) derivatives. The book provides complete C++ implementations for many of the most important derivatives and interest rate pricing models used on Wall Street including Hull-White, BDT, CIR, HJM, and LIBOR Market Model. London illustrates the practical and efficient implementations of these models in real-world situations and discusses the mathematical underpinnings and derivation of the models in a detailed yet accessible manner illustrated by many examples with numerical data as well as real market data. A companion CD contains quantitative libraries, tools, applications, and resources that will be of value to those doing quantitative programming and analysis in C++. Filled with practical advice and helpful tools, Modeling Derivatives in C++ will help readers succeed in understanding and implementing C++ when modeling all types of derivatives.

Modern Derivatives Pricing and Credit Exposure Analysis

Theory and Practice of CSA and XVA Pricing, Exposure Simulation and Backtesting

Author: Roland Stamm,Donal Gallagher,Roland Lichters

Publisher: Palgrave Macmillan

ISBN: 9781137494832

Category: Business & Economics

Page: 432

View: 7788

This book provides a comprehensive guide for modern derivatives pricing and credit analysis. Written to provide sound theoretical detail but practical implication, it provides readers with everything they need to know to price modern financial derivatives and analyze the credit exposure of a financial instrument in today's markets.

Monte Carlo Methods in Financial Engineering

Author: Paul Glasserman

Publisher: Springer Science & Business Media

ISBN: 0387216170

Category: Mathematics

Page: 596

View: 2736

From the reviews: "Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method. The book will appeal to graduate students, researchers, and most of all, practicing financial engineers [...] So often, financial engineering texts are very theoretical. This book is not." --Glyn Holton, Contingency Analysis

Artificial Evolution

6th International Conference, Evolution Artificielle, EA 2003, Marseilles, France, October 27-30, 2003, Revised Selected Papers

Author: Pierre Liardet

Publisher: Springer Science & Business Media

ISBN: 3540215239

Category: Computers

Page: 410

View: 9793

This book constitutes the thoroughly refereed post-proceedings of the 6th International Conference on Artificial Evolution, EA 2003, held in Marseilles, France in October 2003. The 32 revised full papers presented were carefully selected and improved during two rounds of reviewing and revision. The papers are organized in topical sections on theoretical issues, algorithmic issues, applications, implementation issues, genetic programming, coevolution and agent systems, artificial life, and cellular automata.

Computer Vision - ECCV 2008

10th European Conference on Computer Vision, Marseille, France, October 12-18, 2008, Proceedings

Author: David Forsyth,Philip Torr,Andrew Zisserman

Publisher: Springer Science & Business Media

ISBN: 3540886923

Category: Computers

Page: 893

View: 9618

The four-volume set comprising LNCS volumes 5302/5303/5304/5305 constitutes the refereed proceedings of the 10th European Conference on Computer Vision, ECCV 2008, held in Marseille, France, in October 2008. The 243 revised papers presented were carefully reviewed and selected from a total of 871 papers submitted. The four books cover the entire range of current issues in computer vision. The papers are organized in topical sections on recognition, stereo, people and face recognition, object tracking, matching, learning and features, MRFs, segmentation, computational photography and active reconstruction.

FX Derivatives Trader School

Author: Giles Jewitt

Publisher: John Wiley & Sons

ISBN: 1119096472

Category: Business & Economics

Page: 624

View: 8906

An essential guide to real-world derivatives trading FX Derivatives Trader School is the definitive guide to the technical and practical knowledge required for successful foreign exchange derivatives trading. Accessible in style and comprehensive in coverage, the book guides the reader through both basic and advanced derivative pricing and risk management topics. The basics of financial markets and trading are covered, plus practical derivatives mathematics is introduced with reference to real-world trading and risk management. Derivative contracts are covered in detail from a trader's perspective using risk profiles and pricing under different derivative models. Analysis is approached generically to enable new products to be understood by breaking the risk into fundamental building blocks. To assist with learning, the book also contains Excel practicals which will deepen understanding and help build useful skills. The book covers of a wide variety of topics, including: Derivative exposures within risk management Volatility surface construction Implied volatility and correlation risk Practical tips for students on trading internships and junior traders Market analysis techniques FX derivatives trading requires mathematical aptitude, risk management skill, and the ability to work quickly and accurately under pressure. There is a tremendous gap between option pricing formulas and the knowledge required to be a successful derivatives trader. FX Derivatives Trader School is unique in bridging that gap.

Monte Carlo Methods in Finance

Author: Peter Jäckel

Publisher: Wiley

ISBN: 9780471497417

Category: Business & Economics

Page: 238

View: 8931

An invaluable resource for quantitative analysts who need to run models that assist in option pricing and risk management. This concise, practical hands on guide to Monte Carlo simulation introduces standard and advanced methods to the increasing complexity of derivatives portfolios. Ranging from pricing more complex derivatives, such as American and Asian options, to measuring Value at Risk, or modelling complex market dynamics, simulation is the only method general enough to capture the complexity and Monte Carlo simulation is the best pricing and risk management method available. The book is packed with numerous examples using real world data and is supplied with a CD to aid in the use of the examples.

Calibration and Reliability in Groundwater Modelling

From Uncertainty to Decision Making : Proceedings of the ModelCARE 2005 Conference : Held in The Hague, The Netherlands, 6-9 June, 2005

Author: Marc F. P. Bierkens,J. C. Gehrels,Karel Kovar

Publisher: International Assn of Hydrological Sciences

ISBN: 9781901502589

Category: Technology & Engineering

Page: 316

View: 1987

Great advances have been made in assessment of uncertainty of groundwater model outputs and how to decrease this uncertainty. However, the last step of the triplet uncertainty assessment, uncertainty reduction, uncertainty management has not yet been properly made. In practice, policy makers still find it hard to cope with model predictions that have been enriched with measures of quantified uncertainty. Several contributions deal with decision making under uncertainty. Considerable progress is reported in the science of determining stochastic well head protection zones and another noticeable advance is the combined modelling and uscaling of spatially heterogeneous hydraulic and geochemical parameters. Further progress in the calibration of groundwater modelling is evident from the use of model reduction techniques in order to calibrate models with millions of grid nodes and the use of remote sensing data.

Advances in Computer Games

Many Games, Many Challenges

Author: H. Jaap van den Herik,Hiroyuki Iida,Ernst A. Heinz

Publisher: Springer Science & Business Media

ISBN: 9781402077098

Category: Computers

Page: 384

View: 9506

1 feel privileged that the J(jh Advances in Computer Games Conference (ACG 10) takes place in Graz, Styria, Austria. It is the frrst time that Austria acts as host country for this major event. The series of conferences started in Edinburgh, Scotland in 1975 and was then held four times in England, three times in The Netherlands, and once in Germany. The ACG-10 conference in Graz is special in that it is organised together with the 11th World Computer Chess Championship (WCCC), the Sth Computer Olympiad (CO), and the European Union Y outh Chess Championship. The 11 th WCCC and ACG 10 take place in the Dom im Berg (Dome in the Mountain), a high-tech space with multimedia equipment, located in the Schlossberg, in the centre of the city. The help of many sponsors (large and small) is gratefully acknowledged. They will make the organisation of this conference a success. In particular, 1 would like to thank the European Union for designating Graz as the Cultural Capital of Europe 2003. There are 24 accepted contributions by participants from all over the world: Europe, Japan, USA, and Canada. The specific research results ofthe ACG 10 are expected to tind their way to general applications. The results are described in the pages that follow. The international stature together with the technical importance of this conference reaffrrms the mandate of the International Computer Games Association (ICGA) to represent the computer-games community.

The Handbook of Convertible Bonds

Pricing, Strategies and Risk Management

Author: Jan De Spiegeleer,Wim Schoutens

Publisher: John Wiley & Sons

ISBN: 1119978068

Category: Business & Economics

Page: 396

View: 3228

This is a complete guide to the pricing and risk management of convertible bond portfolios. Convertible bonds can be complex because they have both equity and debt like features and new market entrants will usually find that they have either a knowledge of fixed income mathematics or of equity derivatives and therefore have no idea how to incorporate credit and equity together into their existing pricing tools. Part I of the book covers the impact that the 2008 credit crunch has had on the markets, it then shows how to build up a convertible bond and introduces the reader to the traditional convertible vocabulary of yield to put, premium, conversion ratio, delta, gamma, vega and parity. The market of stock borrowing and lending will also be covered in detail. Using an intuitive approach based on the Jensen inequality, the authors will also show the advantages of using a hybrid to add value - pre 2008, many investors labelled convertible bonds as 'investing with no downside', there are of course plenty of 2008 examples to prove that they were wrong. The authors then go onto give a complete explanation of the different features that can be embedded in convertible bond. Part II shows readers how to price convertibles. It covers the different parameters used in valuation models: credit spreads, volatility, interest rates and borrow fees and Maturity. Part III covers investment strategies for equity, fixed income and hedge fund investors and includes dynamic hedging and convertible arbitrage. Part IV explains the all important risk management part of the process in detail. This is a highly practical book, all products priced are real world examples and numerical examples are not limited to hypothetical convertibles. It is a must read for anyone wanting to safely get into this highly liquid, high return market.

Transition Elements—Advances in Research and Application: 2012 Edition

Author: N.A

Publisher: ScholarlyEditions

ISBN: 1464990549

Category: Science

Page: 2680

View: 9410

Transition Elements—Advances in Research and Application: 2012 Edition is a ScholarlyEditions™ eBook that delivers timely, authoritative, and comprehensive information about Transition Elements. The editors have built Transition Elements—Advances in Research and Application: 2012 Edition on the vast information databases of ScholarlyNews.™ You can expect the information about Transition Elements in this eBook to be deeper than what you can access anywhere else, as well as consistently reliable, authoritative, informed, and relevant. The content of Transition Elements—Advances in Research and Application: 2012 Edition has been produced by the world’s leading scientists, engineers, analysts, research institutions, and companies. All of the content is from peer-reviewed sources, and all of it is written, assembled, and edited by the editors at ScholarlyEditions™ and available exclusively from us. You now have a source you can cite with authority, confidence, and credibility. More information is available at http://www.ScholarlyEditions.com/.

Handbook of Markov Chain Monte Carlo

Author: Steve Brooks,Andrew Gelman,Galin Jones,Xiao-Li Meng

Publisher: CRC Press

ISBN: 1420079425

Category: Mathematics

Page: 619

View: 3194

Since their popularization in the 1990s, Markov chain Monte Carlo (MCMC) methods have revolutionized statistical computing and have had an especially profound impact on the practice of Bayesian statistics. Furthermore, MCMC methods have enabled the development and use of intricate models in an astonishing array of disciplines as diverse as fisheries science and economics. The wide-ranging practical importance of MCMC has sparked an expansive and deep investigation into fundamental Markov chain theory. The Handbook of Markov Chain Monte Carlo provides a reference for the broad audience of developers and users of MCMC methodology interested in keeping up with cutting-edge theory and applications. The first half of the book covers MCMC foundations, methodology, and algorithms. The second half considers the use of MCMC in a variety of practical applications including in educational research, astrophysics, brain imaging, ecology, and sociology. The in-depth introductory section of the book allows graduate students and practicing scientists new to MCMC to become thoroughly acquainted with the basic theory, algorithms, and applications. The book supplies detailed examples and case studies of realistic scientific problems presenting the diversity of methods used by the wide-ranging MCMC community. Those familiar with MCMC methods will find this book a useful refresher of current theory and recent developments.