Download or read book Regression based Monte Carlo Methods with Optimal Control Variates written by Stefan Häfner and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Monte Carlo Methods written by J. Hammersley and published by Springer Science & Business Media. This book was released on 2013-03-07 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph surveys the present state of Monte Carlo methods. we have dallied with certain topics that have interested us Although personally, we hope that our coverage of the subject is reasonably complete; at least we believe that this book and the references in it come near to exhausting the present range of the subject. On the other hand, there are many loose ends; for example we mention various ideas for variance reduction that have never been seriously appli(:d in practice. This is inevitable, and typical of a subject that has remained in its infancy for twenty years or more. We are convinced Qf:ver theless that Monte Carlo methods will one day reach an impressive maturity. The main theoretical content of this book is in Chapter 5; some readers may like to begin with this chapter, referring back to Chapters 2 and 3 when necessary. Chapters 7 to 12 deal with applications of the Monte Carlo method in various fields, and can be read in any order. For the sake of completeness, we cast a very brief glance in Chapter 4 at the direct simulation used in industrial and operational research, where the very simplest Monte Carlo techniques are usually sufficient. We assume that the reader has what might roughly be described as a 'graduate' knowledge of mathematics. The actual mathematical techniques are, with few exceptions, quite elementary, but we have freely used vectors, matrices, and similar mathematical language for the sake of conciseness.

Download or read book Fast American Monte Carlo written by Claudio Moni and published by . This book was released on 2005 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: Within the American Monte Carlo framework, we present a method to combine least-squares regression with variance reduction techniques. Our method, based on constructing dynamic control variates, results in significant speed increase, as well as as higher accuracy in the exercise strategy estimation. Furthermore, we provide new results on the speed of convergence of the least-squares American Monte Carlo method.

Download or read book Regression based Methods for Using Control and Antithetic Variates in Monte Carlo Experiments written by Russell Davidson and published by Kingston, Ont. : Institute for Economic Research, Queen's University. This book was released on 1990 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Simulation and the Monte Carlo Method written by Reuven Y. Rubinstein and published by Wiley-Interscience. This book was released on 1981-05-14 with total page 314 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides the first simultaneous coverage of the statistical aspects of simulation and Monte Carlo methods, their commonalities and their differences for the solution of a wide spectrum of engineering and scientific problems. It contains standard material usually considered in Monte Carlo simulation as well as new material such as variance reduction techniques, regenerative simulation, and Monte Carlo optimization.

Download or read book Monte Carlo and Quasi Monte Carlo Methods 2000 written by Kai-Tai Fang and published by Springer Science & Business Media. This book was released on 2011-06-28 with total page 570 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book represents the refereed proceedings of the Fourth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing which was held at Hong Kong Baptist University in 2000. An important feature are invited surveys of the state-of-the-art in key areas such as multidimensional numerical integration, low-discrepancy point sets, random number generation, and applications of Monte Carlo and quasi-Monte Carlo methods. These proceedings include also carefully selected contributed papers on all aspects of Monte Carlo and quasi-Monte Carlo methods. The reader will be informed about current research in this very active field.

Download or read book Regression Based Monte Carlo Methods for Stochastic Control Models written by Yao Tung Huang and published by . This book was released on 2016 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: We present the regression-based Monte Carlo simulation algorithms for solving the stochastic control models associated with pricing and hedging of the Guaranteed Lifelong Withdrawal Benefit (GLWB) in variable annuities, where the dynamics of the underlying fund value is assumed to evolve according to the stochastic volatility model. The GLWB offers a lifelong withdrawal benefit even when the policy account value becomes zero while the policyholder remains alive. Upon death, the remaining account value will be paid to the beneficiary as a death benefit. The bang-bang control strategy analyzed under the assumption of maximization of the policyholder's expected cash flow reduces the strategy space of optimal withdrawal policies to three choices: zero withdrawal, withdrawal at the contractual amount or complete surrender. The impact on the GLWB value under various withdrawal behaviors of the policyholder is examined. We also analyze the pricing properties of GLWB subject to different model parameter values and structural features.

Download or read book Adaptive Control Variates in Monte Carlo Simulation written by Sujin Kim and published by . This book was released on 2006 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Discussion Paper No 781 Regression based Methods for Using Control and Antithetic Variates in Monte Carlo Experiments By Russell Davidson J G Ma written by Queen's University. Institute for Economic Research and published by . This book was released on 1990 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Monte Carlo Methods written by Malvin H. Kalos and published by John Wiley & Sons. This book was released on 2009-06-10 with total page 215 pages. Available in PDF, EPUB and Kindle. Book excerpt: This introduction to Monte Carlo methods seeks to identify and study the unifying elements that underlie their effective application. Initial chapters provide a short treatment of the probability and statistics needed as background, enabling those without experience in Monte Carlo techniques to apply these ideas to their research. The book focuses on two basic themes: The first is the importance of random walks as they occur both in natural stochastic systems and in their relationship to integral and differential equations. The second theme is that of variance reduction in general and importance sampling in particular as a technique for efficient use of the methods. Random walks are introduced with an elementary example in which the modeling of radiation transport arises directly from a schematic probabilistic description of the interaction of radiation with matter. Building on this example, the relationship between random walks and integral equations is outlined. The applicability of these ideas to other problems is shown by a clear and elementary introduction to the solution of the Schrödinger equation by random walks. The text includes sample problems that readers can solve by themselves to illustrate the content of each chapter. This is the second, completely revised and extended edition of the successful monograph, which brings the treatment up to date and incorporates the many advances in Monte Carlo techniques and their applications, while retaining the original elementary but general approach.

Download or read book Monte Carlo methods written by John Michael Hammersley and published by . This book was released on 1964 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Statistical Techniques in Simulation written by Jack P. C. Kleijnen and published by . This book was released on 1974 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fundamentals of simulation; The statistical aspects of simulation; Variance reduction techniques; The design and analysis of experiments; Sample size and reliability; Monte Carlo experimentation with bechhofer and blumenthal's multiple ranking procedures: a case study.

Download or read book Monte Carlo Simulation written by Christopher Z. Mooney and published by SAGE. This book was released on 1997-04-07 with total page 116 pages. Available in PDF, EPUB and Kindle. Book excerpt: Aimed at researchers across the social sciences, this book explains the logic behind the Monte Carlo simulation method and demonstrates its uses for social and behavioural research.

Download or read book Techniques for Efficient Monte Carlo Simulation Volume III Variance Reduction written by E. J. McGrath and published by . This book was released on 1973 with total page 146 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many Monte Carlo simulation problems lend themselves readily to the application of variance reduction techniques. These techniques can result in great improvements in simulation efficiency. The document describes the basic concepts of variance reduction (Part 1), and a methodology for application of variance reduction techniques is presented in Part 2. Appendices include the basic analytical expressions for application of variance reduction schemes as well as an abstracted bibliography. The techniques considered here include importance sampling, Russian roulette and splitting, systematic sampling, stratified sampling, expected values, statistical estimation, correlated sampling, history reanalysis, control variates, antithetic variates, regression, sequantial sampling, adjoint formulation, transformations, orthonormal and conditional Monte Carlo. Emphasis has been placed on presentation of the material for application by the general user. This has been accomplished by presenting a step by step procedure for selection and application of the appropriate technique(s) for a given problem. (Author).

Download or read book Journal of Econometrics written by and published by . This book was released on 1992 with total page 812 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Student Solutions Manual to accompany Simulation and the Monte Carlo Method Student Solutions Manual written by Dirk P. Kroese and published by John Wiley & Sons. This book was released on 2012-01-20 with total page 204 pages. Available in PDF, EPUB and Kindle. Book excerpt: This accessible new edition explores the major topics in Monte Carlo simulation Simulation and the Monte Carlo Method, Second Edition reflects the latest developments in the field and presents a fully updated and comprehensive account of the major topics that have emerged in Monte Carlo simulation since the publication of the classic First Edition over twenty-five years ago. While maintaining its accessible and intuitive approach, this revised edition features a wealth of up-to-date information that facilitates a deeper understanding of problem solving across a wide array of subject areas, such as engineering, statistics, computer science, mathematics, and the physical and life sciences. The book begins with a modernized introduction that addresses the basic concepts of probability, Markov processes, and convex optimization. Subsequent chapters discuss the dramatic changes that have occurred in the field of the Monte Carlo method, with coverage of many modern topics including: Markov Chain Monte Carlo Variance reduction techniques such as the transform likelihood ratio method and the screening method The score function method for sensitivity analysis The stochastic approximation method and the stochastic counter-part method for Monte Carlo optimization The cross-entropy method to rare events estimation and combinatorial optimization Application of Monte Carlo techniques for counting problems, with an emphasis on the parametric minimum cross-entropy method An extensive range of exercises is provided at the end of each chapter, with more difficult sections and exercises marked accordingly for advanced readers. A generous sampling of applied examples is positioned throughout the book, emphasizing various areas of application, and a detailed appendix presents an introduction to exponential families, a discussion of the computational complexity of stochastic programming problems, and sample MATLAB® programs. Requiring only a basic, introductory knowledge of probability and statistics, Simulation and the Monte Carlo Method, Second Edition is an excellent text for upper-undergraduate and beginning graduate courses in simulation and Monte Carlo techniques. The book also serves as a valuable reference for professionals who would like to achieve a more formal understanding of the Monte Carlo method.

Download or read book Numerical Probability written by Gilles Pagès and published by Springer. This book was released on 2018-07-31 with total page 591 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook provides a self-contained introduction to numerical methods in probability with a focus on applications to finance. Topics covered include the Monte Carlo simulation (including simulation of random variables, variance reduction, quasi-Monte Carlo simulation, and more recent developments such as the multilevel paradigm), stochastic optimization and approximation, discretization schemes of stochastic differential equations, as well as optimal quantization methods. The author further presents detailed applications to numerical aspects of pricing and hedging of financial derivatives, risk measures (such as value-at-risk and conditional value-at-risk), implicitation of parameters, and calibration. Aimed at graduate students and advanced undergraduate students, this book contains useful examples and over 150 exercises, making it suitable for self-study.