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: 2332

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 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: 7830

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.

River Flow 2016

Iowa City, USA, July 11-14, 2016

Author: George Constantinescu,Marcelo Garcia,Dan Hanes

Publisher: CRC Press

ISBN: 1317289129

Category: Technology & Engineering

Page: 856

View: 1911

Understanding and being able to predict fluvial processes is one of the biggest challenges for hydraulics and environmental engineers, hydrologists and other scientists interested in preserving and restoring the diverse functions of rivers. The interactions among flow, turbulence, vegetation, macroinvertebrates and other organisms, as well as the transport and retention of particulate matter, have important consequences on the ecological health of rivers. Managing rivers in an ecologically friendly way is a major component of sustainable engineering design, maintenance and restoration of ecological habitats. To address these challenges, a major focus of River Flow 2016 was to highlight the latest advances in experimental, computational and theoretical approaches that can be used to deepen our understanding and capacity to predict flow and the associated fluid-driven ecological processes, anthropogenic influences, sediment transport and morphodynamic processes. River Flow 2016 was organized under the auspices of the Committee for Fluvial Hydraulics of the International Association for Hydro-Environment Engineering and Research (IAHR). Since its first edition in 2002, the River Flow conference series has become the main international event focusing on river hydrodynamics, sediment transport, river engineering and restoration. Some of the highlights of the 8th International Conference on Fluvial Hydraulics were to focus on inter-disciplinary research involving, among others, ecological and biological aspects relevant to river flows and processes and to emphasize broader themes dealing with river sustainability. River Flow 2016 (extended abstract book 854 pages + full paper CD-ROM 2436 pages) contains the contributions presented during the regular sessions covering the main conference themes and the special sessions focusing on specific hot topics of river flow research, and will be of interest to academics interested in hydraulics, hydrology and environmental engineering.

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: 5256

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.

A Monte Carlo Primer

A Practical Approach to Radiation Transport

Author: Stephen A. Dupree,Stanley K. Fraley

Publisher: Springer Science & Business Media

ISBN: 1441984917

Category: Science

Page: 341

View: 3714

The mathematical technique of Monte Carlo, as applied to the transport of sub-atomic particles, has been described in numerous reports and books since its formal development in the 1940s. Most of these instructional efforts have been directed either at the mathematical basis of the technique or at its practical application as embodied in the several large, formal computer codes available for performing Monte Carlo transport calculations. This book attempts to fill what appears to be a gap in this Monte Carlo literature between the mathematics and the software. Thus, while the mathematical basis for Monte Carlo transport is covered in some detail, emphasis is placed on the application of the technique to the solution of practical radiation transport problems. This is done by using the PC as the basic teaching tool. This book assumes the reader has a knowledge of integral calculus, neutron transport theory, and Fortran programming. It also assumes the reader has available a PC with a Fortran compiler. Any PC of reasonable size should be adequate to reproduce the examples or solve the exercises contained herein. The authors believe it is important for the reader to execute these examples and exercises, and by doing so to become accomplished at preparing appropriate software for solving radiation transport problems using Monte Carlo. The step from the software described in this book to the use of production Monte Carlo codes should be straightforward.

Modeling Derivatives in C++

Author: Justin London

Publisher: John Wiley & Sons

ISBN: 047168189X

Category: Business & Economics

Page: 840

View: 4759

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.

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: 3510

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.

Fixed Income Securities

Tools for Today's Markets

Author: Bruce Tuckman,Angel Serrat

Publisher: John Wiley & Sons

ISBN: 1118133994

Category: Business & Economics

Page: 656

View: 4819

Fixed income practitioners need to understand the conceptualframeworks of their field; to master its quantitative tool-kit; andto be well-versed in its cash-flow and pricing conventions.Fixed Income Securities, Third Edition by Bruce Tuckman andAngel Serrat is designed to balance these three objectives. Thebook presents theory without unnecessary abstraction; quantitativetechniques with a minimum of mathematics; and conventions at auseful level of detail. The book begins with an overview of global fixed income marketsand continues with the fundamentals, namely, arbitrage pricing,interest rates, risk metrics, and term structure models to pricecontingent claims. Subsequent chapters cover individual markets andsecurities: repo, rate and bond forwards and futures, interest rateand basis swaps, credit markets, fixed income options, andmortgage-backed-securities. Fixed Income Securities, Third Edition is full ofexamples, applications, and case studies. Practically everyquantitative concept is illustrated through real market data. Thispractice-oriented approach makes the book particularly useful forthe working professional. This third edition is a considerable revision and expansion ofthe second. Most examples have been updated. The chapters on fixedincome options and mortgage-backed securities have beenconsiderably expanded to include a broader range of securities andvaluation methodologies. Also, three new chapters have been added:the global overview of fixed income markets; a chapter on corporatebonds and credit default swaps; and a chapter on discounting withbases, which is the foundation for the relatively recent practiceof discounting swap cash flows with curves based on money marketrates. This university edition includes problems which students canuse to test and enhance their understanding of the text.

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: 5730

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.

Computer Vision - ECCV 2008

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

Author: David Forsyth,Philip Torr

Publisher: Springer Science & Business Media

ISBN: 3540886923

Category: Computers

Page: 891

View: 4792

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.

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: 6204

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: 7627

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.

Simulation and Synthesis in Medical Imaging

Second International Workshop, SASHIMI 2017, Held in Conjunction with MICCAI 2017, Québec City, QC, Canada, September 10, 2017, Proceedings

Author: Sotirios A. Tsaftaris,Ali Gooya,Alejandro F. Frangi,Jerry L. Prince

Publisher: Springer

ISBN: 3319681273

Category: Computers

Page: 109

View: 5548

This book constitutes the refereed proceedings of the Second International Workshop on Simulation and Synthesis in Medical Imaging, held in conjunction with MICCAI 2017, in Québec City, Canada, in September 2017. The 11 revised full papers presented were carefully reviewed and selected from 14 submissions. The contributions span the following broad categories: cross modality (PET/MR, PET/CT, CT/MR, etc.) image synthesis, simulation and synthesis from large-scale image databases, automated techniques for quality assessment images, and several applications of image synthesis and simulation in medical imaging such as image interpolation and segmentation, image reconstruction, cell imaging, and blood flow.

Transition Elements—Advances in Research and Application: 2012 Edition

Author: N.A

Publisher: ScholarlyEditions

ISBN: 1464990549

Category: Science

Page: 2680

View: 5217

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

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: 4530

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.

Synthetic CDOs

Modelling, Valuation and Risk Management

Author: C. C. Mounfield

Publisher: Cambridge University Press

ISBN: 0521897882

Category: Business & Economics

Page: 369

View: 9720

Details the latest models and techniques in quantitative and computational modelling of synthetic Collateralised Debt Obligations.

Emerging Financial Derivatives

Understanding exotic options and structured products

Author: Jerome Yen,Kin Keung Lai

Publisher: Routledge

ISBN: 1317638883

Category: Business & Economics

Page: 136

View: 7859

Exotic options and structured products are two of the most popular financial products over the past ten years and will soon become very important to the emerging markets, especially China. This book first discusses the products' recent development in the world and provides comprehensive overview of the major products. The book also discusses the risks of issuing and buying such products as well as the techniques to price them and to assess the risks. Volatility is the most important factor in determining the return and risk. Therefore, significant part of the book's content discusses how we can measure the volatility by using local and stochastic volatility models — Heston Model and Dupire Model, the volatility surface, the term structure of volatility, variance swaps, and breakeven volatility. The book introduces a set of dimensions which can be used to describe structured products to help readers to classify them. It also describes the more commonly traded exotic options with details. The book discusses key features of each exotic option which can be used to develop structured products and covers their pricing models and when to issue such products that contain such exotic options. This book contains several case studies about how to use the models or techniques to price and hedge risks. These case analyses are illuminating.

Regional Approaches to Water Pollution in the Environment

Author: P.E. Rijtema,V. Eliás

Publisher: Springer Science & Business Media

ISBN: 9400903456

Category: Science

Page: 320

View: 1248

Regional Approaches to Water Pollution in the Environment integrates knowledge and experience on pollution problems related to industrial, agricultural and municipal activities and former military sites, with special emphasis on the Black Triangle: the region situated at the borders between North Bohemia, Polish Lower Silesia and South Saxony. Here, some five million inhabitants live in an area of brown coal basins having the highest emissions of sulphuric and nitrogen emission in the whole of Europe. The large-scale damage in this region is due to obsolete technology and insufficient equipment for monitoring emissions. Health effects are severe, and controlling the pollution can only be done at high cost. There is thus a need to exchange knowledge and experience on methods for evaluating the expected effects of measures and purification techniques to remedy ground and surface water pollution.