Search Results - subject:"Monte‐Carlo simulation"

Pricing temperature‐based weather derivatives in China

Göncü, Ahmet - In: The Journal of Risk Finance 13 (2011) 1, pp. 32-44

temperatures. The analytical approximation formulas and Monte Carlo simulation produce very similar prices for heating …

Persistent link: https://www.econbiz.de/10014901594

A hybrid performance measurement framework for optimal decisions

Fukushima, Akihiro; Jeffrey Peirce, J. - In: Measuring Business Excellence 15 (2011) 2, pp. 32-43

multiple linear regression model. An expected final outcome and uncertainty are evaluated with a Monte Carlo simulation …

Persistent link: https://www.econbiz.de/10014930788

Accurate numerical solution of Black-Scholes option pricing equations

García-Rubio, Raquel - In: International Journal of Financial Markets and Derivatives 2 (2011) 3, pp. 236-243

We discuss the accurate numerical solution of Black-Scholes differential equations. We check that the stochastic part of the equation could convert small round-off or truncation errors in big errors. However, the numerical method used are low order even in the non-stochastic case due to the...

Persistent link: https://www.econbiz.de/10011130272

Stochastic reactive power market with volatility of wind power considering voltage security

Kargarian, A.; Raoofat, M. - In: Energy 36 (2011) 5, pp. 2565-2571

-bus test system. As a benchmark, Monte Carlo Simulation method is utilized to simulate the actual market of given period …

Persistent link: https://www.econbiz.de/10010809872

Estimating m-regimes STAR-GARCH model using QMLE with parameter transformation

Chan, Felix; Theoharakis, Billy - In: Mathematics and Computers in Simulation (MATCOM) 81 (2011) 7, pp. 1385-1396

transformation on the parameters to alleviate these difficulties. Monte Carlo simulation results show promising signs for the … STAR-GARCH using QMLE. The aim of the paper is to investigate the nature of the numerical difficulties using Monte Carlo … Simulation. By examining the surface of the log-likelihood function based on simulated data, the results provide several insights …

Persistent link: https://www.econbiz.de/10010869931

Tracer diffusion in the presence of segregating obstacles

Rickman, J.M. - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 3, pp. 456-462

specifically, we employ Monte Carlo simulation to describe the nonequilibrium diffusive behavior of the components of a two …

Persistent link: https://www.econbiz.de/10010873281

Liquid crystal films on curved surfaces: An entropic sampling study

Jayasri, D.; Sairam, T.; Murthy, K.P.N.; Sastry, V.S.S. - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 23, pp. 4549-4554

The confining effect of a spherical substrate inducing anchoring (normal to the surface) on rod-like liquid crystal molecules contained in a thin film spread over it has been investigated with regard to possible changes in the nature of the isotropic-to-nematic phase transition as the sample is...

Persistent link: https://www.econbiz.de/10010873805

The Credit Securitisation Process as a Tool of Portfolio Credit Risk Managing

Annalisa, Di Clemente - In: STUDI ECONOMICI LXVI (2011) 104, pp. 5-28

Importance Sampling Monte Carlo simulation model has been implemented for estimating the portfolio credit risk amount, taking …

Persistent link: https://www.econbiz.de/10010876340

Efficient greek estimation in generic swap-rate market models

Joshi, Mark; Yang, Chao - In: Algorithmic Finance 1 (2011) 1, pp. 17-33

We first develop an efficient algorithm to compute Deltas of interest rate derivatives for a number of standard market models. The computational complexity of the algorithms is shown to be proportional to the number of rates times the number of factors per step. We then show how to extend the...

Persistent link: https://www.econbiz.de/10010840410

Meta-Heuristic Algorithms for Hydrologic Frequency Analysis

Hassanzadeh, Yousef; Abdi, Amin; Talatahari, Siamak; … - In: Water Resources Management 25 (2011) 7, pp. 1855-1879

suitable parameter estimation alternatives. Also, the results of Monte Carlo simulation for various sample sizes, ranging from …

Persistent link: https://www.econbiz.de/10010847345