We propose a new ‘hedged’ Monte-Carlo (HMC) method to price financial derivatives, which allows to determine simultaneously the optimal hedge. The inclusion of the optimal hedging strategy allows one to reduce the financial risk associated with option trading, and for the very same reason...

For a decade, a new theoretical movement called “econophysics” has been initiated by some physicists who began to publish articles devoted to the study of economic and financial phenomena. Since then, econophysicists have written a very prolific literature about the way of characterizing the...

We present a numerical study of the evolution of a wave packet in a nanoscale MOSFET featuring an ‘atomistic’ channel doping. Our two-dimensional Monte Carlo Wigner simulation results are compared against classical Boltzmann simulation results. We show that the quantum effects due to the...

Random walk on percolation under an external field has been investigated by using statistical analysis and Monte Carlo simulation. The mean square displacement 〈R2〉 as a function of time t was obtained. There exist some steps in the log〈R2〉–logt plot. The defect in the percolation...

We have investigated the dynamic critical behavior of the two-dimensional 4-state Potts model using an alternative order parameter first used by Vanderzande [J. Phys. A 20 (1987) L549] in the study of the Z(5) model. We have estimated the global persistence exponent θg by following the time...

In this paper, the adsorption of interacting binary mixtures on square lattices has been studied. By using Monte Carlo simulation and finite-size scaling analysis, the connection between the surface ordered phases and the percolating properties of the adsorbed phase has been investigated. A rich...

We propose a new cluster algorithm for the Baxter–Wu model that significantly reduces critical slowing down. We examine the behavior of the created clusters as we vary the temperature and then specify dynamic exponents. Comparison is made with the Metropolis algorithm and with the other...

Random Boolean networks are among the best-known systems used to model genetic networks. They show an on–off dynamics and it is easy to obtain analytical results with them. Unfortunately very few genes are strictly on–off switched. On the other hand, continuous methods are in principle more...

In this article, we give a brief informal introduction to Malliavin Calculus for newcomers. We apply these ideas to the simulation of Greeks in Finance. First to European-type options where formulas can be computed explicitly and therefore can serve as testing ground. Later, we study the case of...

The stochastic-agent-on-tree method for business valuation is proposed by applying the game theory to the agent-based model. The proposed method is reduced to the real option valuation method using approximations. Demand forecasting and business valuation for computer-related industries are...