monte carlo simulation excel and model risk
finance - risk analysis and monte carlo simulation
Ngày tải lên :
08/04/2014, 12:08
... multiple model outcomes that you can analyze.
This is where Monte Carlo simulation comes in handy.
WHAT IS MONTE CARLO SIMULATION?
What do we mean by " ;simulation? "
When we use the word simulation, ... available simulation add-in for Excel is Crystal Ball 2000, which will be used
in this example.
How did Monte Carlo simulation get its name?
Monte Carlo simulation was named for Monte Carlo, Monaco, ... to
reproduce. Monte Carlo simulation is a form of simulation that randomly generates values for
uncertain variables over and over to simulate a model.
Without the aid of simulation, a spreadsheet model...
- 4
- 285
- 0
Báo cáo "Monte carlo simulation by code of MCNP and experimental check for measuring thickness of materials for the specializing system of MYO-101 " ppt
Ngày tải lên :
22/03/2014, 11:20
... thickness
between simulation by MCNP and experimental
measurement for thin stainless steel.
VNU Journal of Science, Mathematics - Physics 26 (2010) 43-49
43
Monte carlo simulation by ... plastic, aluminum and steel with using the
dedicated system of MYO-101, having scintillation detector of YAP(Ce) and gamma-ray of 60
keV of Am-241 source, by Monte- Carlo simulation using the ... the field of application of nuclear technique in industry in Vietnam.
Keywords: Monte- Carlo simulation, Monte Carlo N-Particle, Backscattering gamma, Scintillation
detector, Nuclear technique....
- 7
- 467
- 0
Báo cáo nghiên cứu khoa học: "Monte carlo simulation by code of MCNP and experimental check for measuring thickness of materials for the specializing system of MYO-101" pptx
Ngày tải lên :
21/07/2014, 16:21
... plastic, aluminum and steel with using the
dedicated system of MYO-101, having scintillation detector of YAP(Ce) and gamma-ray of 60
keV of Am-241 source, by Monte- Carlo simulation using the ... the field of application of nuclear technique in industry in Vietnam.
Keywords: Monte- Carlo simulation, Monte Carlo N-Particle, Backscattering gamma, Scintillation
detector, Nuclear technique. ... to support and compare them with experimental results, research method of Monte Carlo
simulation by code of MCNP (Monte Carlo N-Particles) for thickness measurement based on the
effect of backscattering...
- 7
- 487
- 0
Tài liệu Báo cáo khoa học: Suppressed catalytic efficiency of plasmin in the presence of long-chain fatty acids Identification of kinetic parameters from continuous enzymatic assay with Monte Carlo simulation ppt
Ngày tải lên :
18/02/2014, 17:20
... seven
substrate concentrations) and its best estimates were
further analyzed for better implementation of the
experimental error. The application of error models P
k
i;j
in the Monte Carlo simulations has the ... P
mean,i,j
values and
their model standard deviation P
M
std;j
P
mean;i ;j
ị from the experiment
shown in Fig. 2B and the P
M
i;j
values predicted with kinetic parame-
ters optimized according to Model I ... stearic acid and oleic acid, representing
22.0, 19.5 and 18.8%, respectively, of the total fatty
acid content of platelet phosphoglycerolipids [8].
Keywords
arachidonate; Monte Carlo simulation;
oleate;...
- 9
- 473
- 0
EXPLORING MONTE CARLO SIMULATION APPLICATIONS FOR PROJECT MANAGEMENT potx
Ngày tải lên :
23/03/2014, 04:21
... advantage of this simple and useful tool in managing project risks
and uncertainties.
Overview of Monte Carlo simulation
Brief history of Monte Carlo simulation
The Monte Carlo simulation encompasses ... the
simulation and hands on experience with the Monte Carlo Simulation tech-
niques to current and potential project managers are needed to overcome
Risk Management
Exploring Monte Carlo Simulation ... to respond to risk events.
Risk Management
Exploring Monte Carlo Simulation Applications
55
project managers ’ reluctance to use Monte Carlo simulation, once the Monte
Carlo simulation technique...
- 14
- 512
- 0
Simulation and Monte Carlo With applications in finance and MCMC pdf
Ngày tải lên :
07/03/2014, 15:20
... itself. This applies to all corresponding random variable names in this list.
8 Introduction to simulation and Monte Carlo
a fresh worksheet by typing ‘restart’ and also load the statistics package ... Therefore,
I
19
=
1
2
49206
−01
+72928
−01
=08363 (1.7)
6 Introduction to simulation and Monte Carlo
Since X
n+1
depends on X
n
and Y
n+1
only, and since Y
n+1
is independent of X
n−1
X
n−2
,
it follows ... other burgeoning area of simulation, namely Markov chain
Monte Carlo and its use in Bayesian statistics. Here, I have been influenced by the
works of Robert and Casella (2004) and Gilks et al. (1996)....
- 349
- 4.2K
- 0
Simulation and the Monte Carlo Method Second Edition potx
Ngày tải lên :
27/06/2014, 08:20
... reduction techniques in Monte Carlo simulation, such
as antithetic and common random numbers, control random variables, conditional Monte
Carlo, stratified sampling, and importance sampling. ... objective function and some of the constraints are unknown
and need to be obtained via simulation. We deal with sensitivity analysis and optimization
of both static and dynamic models. We introduce ... undergraduate and graduate students at the Technion and the University of
Queensland who helped make this book possible and whose valuable ideas and experi-
ments were extremely encouraging and motivating:...
- 377
- 696
- 0
Matematik simulation and monte carlo with applications in finance and mcmc phần 1 pps
Ngày tải lên :
09/08/2014, 16:21
... sequence appear random.
Simulation and Monte Carlo: With applications in finance and MCMC J. S. Dagpunar
â 2007 John Wiley & Sons, Ltd
6 Introduction to simulation and Monte Carlo
Since X
n+1
depends ... 21 2006 il /S i ffi
Simulation and Monte Carlo
2
Uniform random numbers
All simulations work on a ‘raw material’ of random numbers. A sequence R
1
R
2
is
said to be a random number sequence ... Introduction to simulation and Monte Carlo 1
1.1 Evaluating a definite integral 2
1.2 Monte Carlo is integral estimation 4
1.3 An example 5
1.4 A simulation using Maple 7
1.5 Problems 13
2 Uniform random...
- 35
- 294
- 0
Matematik simulation and monte carlo with applications in finance and mcmc phần 2 pdf
Ngày tải lên :
09/08/2014, 16:21
... support
0
.
Simulation and Monte Carlo: With applications in finance and MCMC J. S. Dagpunar
â 2007 John Wiley & Sons, Ltd
Envelope rejection 43
Now −ln
R
2
and y are independent ... ‘SUPER-DUPER’ random
number suite (Marsaglia, 1972; Marsaglia et al., 1972). Its statistical properties are quite
good and have been investigated by Anderson (1990) and Marsaglia and Zaman (1993).
> ... methods and tests and is located at
http://random.mat.sbg.ac.at/.
2.5 Combinations of generators
By combining the output from several independent generators it is hoped to (a) increase
the period and...
- 35
- 388
- 0
Matematik simulation and monte carlo with applications in finance and mcmc phần 3 ppsx
Ngày tải lên :
09/08/2014, 16:21
... n, and a, a simulation
sampled
j
j = 15000
. Table 5.1 shows the resulting
and e.s.e.
. The standard
error for a naive Monte Carlo simulation is
1 −
/5000 and ... standard normal random variables, X
1
and X
2
. The
joint density is
f
X
1
X
2
x
1
x
2
=
1
2
e
−
x
2
1
+x
2
2
/2
Simulation and Monte Carlo: With applications in finance and MCMC J. S. ... variates from
standard distributions
4.1 Standard normal distribution
The standard normal distribution is so frequently used that it has its own notation.
A random variable Z follows the standard normal...
- 35
- 250
- 0
Matematik simulation and monte carlo with applications in finance and mcmc phần 4 pptx
Ngày tải lên :
09/08/2014, 16:21
... Wiener process, will be described.
Simulation and Monte Carlo: With applications in finance and MCMC J. S. Dagpunar
â 2007 John Wiley & Sons, Ltd
112 Simulation and finance
Let VX
t
t be ... queue simulation in Problem 1.
Write a Maple program and investigate the variance reduction achieved for different
parameter values.
8. Write procedures for naive and conditional Monte Carlo simulations ... O
h
2
= O
1/m
2/d
. However, using Monte Carlo, the
error is still O
1/
√
m
. Therefore, for d>4 and for sufficiently large m, Monte Carlo will
be better than the trapezium rule....
- 35
- 348
- 0
Matematik simulation and monte carlo with applications in finance and mcmc phần 5 ppsx
Ngày tải lên :
09/08/2014, 16:21
... (1978), Law and Kelton (2000), and Pidd (1998).
Simulation and Monte Carlo: With applications in finance and MCMC J. S. Dagpunar
â 2007 John Wiley & Sons, Ltd
154 Discrete event simulation
(b) ... probabilities
i
/
i
+
i
and
i
/
i
+
i
respectively.
8
Markov chain Monte Carlo
Markov chain Monte Carlo (MCMC) refers to a class of methods for sampling random
vectors X
0
X
1
(generally, ... is
P
D
=
P
D
P
P
D
(8.1)
Simulation and Monte Carlo: With applications in finance and MCMC J. S. Dagpunar
â 2007 John Wiley & Sons, Ltd
Problems 151
allowed = 0 then this model reduces to an...
- 35
- 276
- 0
Matematik simulation and monte carlo with applications in finance and mcmc phần 6 doc
Ngày tải lên :
09/08/2014, 16:21
... original study by Gaver and O’Muircheartaigh (1987) and also in several follow-
up analyses of this data set, including those by Robert and Casella (2004, pp. 385–7) and
Gelfand and Smith (1990), an ... output of every X
n
. To obtain a random number
in [0,1) insert R= x/61. Answers: (a) = 60, (b) = 30.
Simulation and Monte Carlo: With applications in finance and MCMC J. S. Dagpunar
â 2007 ... densities
lambda[9]
prior and posterior densities
lambda[8]
prior and posterior densities
lambda[7]
prior and posterior densities
lambda[6]
prior and posterior densities
lambda[5]
prior and posterior densities
lambda[4]
prior...
- 35
- 288
- 0
Matematik simulation and monte carlo with applications in finance and mcmc phần 7 ppt
Ngày tải lên :
09/08/2014, 16:21
... the random number generator
schrage. The final execution group sets an (initial) seed and calls ‘expon’
three times.
2
6
6
6
6
6
6
6
4
Simulation and Monte Carlo: With applications in finance and ... independent times between starting at
the point x
0
;y
0
ị and landing in the treacle. The function
stats
[
random,norma ld
]
(1)
creates a random standard normal deviate.
6
6
6
6
6
6
6
6
6
6
6
6
6
6
6
6
6
6
6
6
6
6
6
6
6
4
Appendices ... restart;
h
> randomize(462695):#specify a seed
h
> distance:=proc(n) local j,x1,x2,y1,y2,d;
for j from 1 to n do;
x1:=
rand()/10^12;
y1:=rand()/10^12;
x2:=rand()/10^12;
y2:=rand()/10^12;
d
[
j
]
:=sqrt((x1-x2)^2+(y1-y2)^2);
end...
- 35
- 389
- 0
