Search Results for monte-carlo-frameworks

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 ++.

Author: Daniel J. Duffy

Publisher: John Wiley & Sons

ISBN: 9780470684061

Category: Business & Economics

Page: 775

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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 www.datasimfinancial.com 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 ++.
2011-08-02 By Daniel J. Duffy

A Monte Carlo Framework to Simulate Multicomponent Droplet Growth by Stochastic Coalescence.

Author: Lester Alfonso

Publisher:

ISBN: 9533076917

Category: Computers

Page:

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A Monte Carlo Framework to Simulate Multicomponent Droplet Growth by Stochastic Coalescence.
2011 By Lester Alfonso

Author: Javier Alberto Hernandez

Publisher:

ISBN: OCLC:708740225

Category:

Page: 168

View: 622

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This is due to the increasing power of computers and practitioners’ aim to simulate more and more complex systems, and thus use random parameters as well as random noises to model the parametric uncertainties and the lack of knowledge on ...

Author: Carl Graham

Publisher: Springer Science & Business Media

ISBN: 9783642393631

Category: Mathematics

Page: 260

View: 470

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In various scientific and industrial fields, stochastic simulations are taking on a new importance. This is due to the increasing power of computers and practitioners’ aim to simulate more and more complex systems, and thus use random parameters as well as random noises to model the parametric uncertainties and the lack of knowledge on the physics of these systems. The error analysis of these computations is a highly complex mathematical undertaking. Approaching these issues, the authors present stochastic numerical methods and prove accurate convergence rate estimates in terms of their numerical parameters (number of simulations, time discretization steps). As a result, the book is a self-contained and rigorous study of the numerical methods within a theoretical framework. After briefly reviewing the basics, the authors first introduce fundamental notions in stochastic calculus and continuous-time martingale theory, then develop the analysis of pure-jump Markov processes, Poisson processes, and stochastic differential equations. In particular, they review the essential properties of Itô integrals and prove fundamental results on the probabilistic analysis of parabolic partial differential equations. These results in turn provide the basis for developing stochastic numerical methods, both from an algorithmic and theoretical point of view. The book combines advanced mathematical tools, theoretical analysis of stochastic numerical methods, and practical issues at a high level, so as to provide optimal results on the accuracy of Monte Carlo simulations of stochastic processes. It is intended for master and Ph.D. students in the field of stochastic processes and their numerical applications, as well as for physicists, biologists, economists and other professionals working with stochastic simulations, who will benefit from the ability to reliably estimate and control the accuracy of their simulations.
2013-07-16 By Carl Graham

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.

Author: Jun S. Liu

Publisher: Springer Science & Business Media

ISBN: 9780387763712

Category: Mathematics

Page: 344

View: 530

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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.
2013-11-11 By Jun S. Liu

Author: Leigh J. Fitzgibbon

Publisher:

ISBN: OCLC:225191470

Category: Algorithms

Page: 194

View: 289

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In this section, some of the common integration methods usually used in the UQ framework are discussed, namely Monte-Carlo integration, Quasi-Monte-Carlo integration, Tensorization of one-dimensional quadrature formula and Cubature ...

Author: Janya-anurak, Chettapong

Publisher: KIT Scientific Publishing

ISBN: 9783731506423

Category:

Page: 248

View: 883

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2017-04-04 By Janya-anurak, Chettapong

Sun, B., Kayal, S. & Chakraborty, A. Study of HKUST (Copper benzene-1,3,5- tricarboxylate, Cu-BTC MOF)-1 metal organic frameworks for CH4 adsorption: An experimental Investigation with GCMC (grand canonical Monte-carlo) simulation.

Author: Moises A Carreon

Publisher: World Scientific

ISBN: 9781786346742

Category: Technology & Engineering

Page: 284

View: 434

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This unique compendium describes research progress on metal-organic framework (MOF) membranes for different relevant industrial gas separations. Specifically, the book focuses mainly on gas separations which are important in flue gas treatment, natural gas purification, hydrogen purification, and nuclear reprocessing. The advantages of using MOFs in mixed matrix membranes are discussed. Some of the pressing challenges in the field, and strategies to potentially overcome them are also distinctly outlined.This volume is a useful reference materials for professionals, academics, researchers and postgraduate students in chemical engineering and materials engineering.
2020-07-30 By Moises A Carreon

Author:

Publisher:

ISBN: OCLC:591659240

Category:

Page: 57

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2010 By

References 1 Jeffroy, M., Fuchs, A.H., and Boutin, A. (2008) Structural changes in nanoporous solids due to fluid adsorption: thermodynamic analysis and Monte Carlo simulations. Chem. Commun., 3275–3277. 2 Bradshaw, D., Claridge, J.B., ...

Author: David Farrusseng

Publisher: John Wiley & Sons

ISBN: 9783527328703

Category: Science

Page: 414

View: 655

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An international and interdisciplinary team of leading experts from both academia and industry report on the wide range of hot applications for MOFs, discussing both the advantages and limits of the material. The resulting overview covers everything from catalysis, H2 and CH4 storage and gas purification to drug delivery and sensors. From the Contents: - Design of Porous Coordination Polymers/Metal-Organic Frameworks: Past, Present and Future - Design of Functional Metal-Organic Frameworks by Post-Synthetic Modification - Thermodynamic Methods for Prediction of Gas Separation in Flexible Frameworks - Separation and purification of gases by MOFs - Opportunities for MOFs in CO2 capture from flue gases, natural gas and syngas by adsorption - Manufacture of MOF thin films on structured supports for separation and catalysis - Research status of Metal-Organic Frameworks for on-board cryo-adsorptive hydrogen storage applications - Separation of xylene isomers - Metal-Organic Frameworks as Catalysts for Organic Reactions - Biomedical applications of Metal Organic Frameworks - Metal Organic Frameworks for Biomedical Imaging - Luminescent Metal-Organic Frameworks - Deposition of thin films for sensor applications - Industrial MOF Synthesis - MOF shaping and immobilisation A must-have for every scientist in the field.
2011-08-29 By David Farrusseng

Author: Christopher R. Hamlett

Publisher:

ISBN: OCLC:26373873

Category: Monte Carlo method

Page: 284

View: 545

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This second volume attempts to continue this approach by using both custom Monte Carlo codes and PFC to apply the concepts explained in the Primer to obtain solutions to the exercises given at the end of each chapter in the Primer.

Author: Stephen A. Dupree

Publisher: Springer Science & Business Media

ISBN: 0306485036

Category: Science

Page: 230

View: 325

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In Volume 1, A Monte Carlo Primer - A Practical Approach to Radiation Transport (the "Primer"), we attempt to provide a simple, convenient, and step-by-step approach to the development, basic understanding, and use of Monte Carlo methods in radiation transport. Using the PC, the Primer begins by developing basic Monte Carlo codes to solve simple transport problems, then introduces a teaching tool, the Probabilistic Framework Code (PFC), as a standard platform for assembling, testing, and executing the various Monte Carlo techniques that are presented. This second volume attempts to continue this approach by using both custom Monte Carlo codes and PFC to apply the concepts explained in the Primer to obtain solutions to the exercises given at the end of each chapter in the Primer. A relatively modest number of exercises is included in the Primer. Some ambiguity is left in the statement of many of the exercises because the intent is not to have the user write a particular, uniquely correct piece of coding that produces a specific number as a result, but rather to encourage the user to think about the problems and develop further the concepts explained in the text. Because in most cases there is more than one way to solve a Monte Carlo transport problem, we believe that working with the concepts illustrated by the exercises is more important than obtaining anyone particular solution.
2004-05-01 By Stephen A. Dupree

They have made it possible to solve numerically many complex, non-standard problems that were previously intractable. This book presents the first comprehensive treatment of these techniques.

Author: Arnaud Doucet

Publisher: Springer Science & Business Media

ISBN: 0387951466

Category: Mathematics

Page: 582

View: 411

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Monte Carlo methods are revolutionizing the on-line analysis of data in many fileds. They have made it possible to solve numerically many complex, non-standard problems that were previously intractable. This book presents the first comprehensive treatment of these techniques.
2001-06-21 By Arnaud Doucet

Author: Lester Alfonso

Publisher:

ISBN: 9533076917

Category:

Page:

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2011 By Lester Alfonso

The release of hazardous materials into the atmosphere can have a tremendous impact on dense populations.

Author: J. Lundquist

Publisher:

ISBN: OCLC:316305392

Category:

Page: 6

View: 984

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The release of hazardous materials into the atmosphere can have a tremendous impact on dense populations. We propose an atmospheric event reconstruction framework that couples observed data and predictive computer-intensive dispersion models via Bayesian methodology. Due to the complexity of the model framework, a sampling-based approach is taken for posterior inference that combines Markov chain Monte Carlo (MCMC) and sequential Monte Carlo (SMC) strategies.
2006 By J. Lundquist

Monte Carlo Sampling (b) Framework vs. ... Figure5(a)illustrates the result of this experiment, which shows that at no point in time the Monte Carlo grid sampling exhibited a better development than the parameter estimation framework.

Author: Johann Eder

Publisher: Springer Science & Business Media

ISBN: 9783642237362

Category: Computers

Page: 462

View: 705

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This book constitutes the refereed proceedings of the 15th International Conference on Advances in Databases and Information Systems, ADBIS 2011, held in Vienna, Austria, in September 2011. The 30 revised full papers presented together with 2 full length invited talks were carefully reviewed and selected from 105 submissions. They are organized in topical sections on query processing; data warehousing; DB systems; spatial data; information systems; physical DB design; evolution, integrity, security; and data semantics.
2011-09-09 By Johann Eder

This paper proposes a customisable Monte Carlo framework for the automated generation of highly efficient curve based payoff evaluation accelerator, based on the Heath-Jarrow-Morton (HJM) mathematical framework.

Author: Oliver Choy

Publisher: Springer Science & Business Media

ISBN: 9783642283642

Category: Computers

Page: 386

View: 870

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This book constitutes the refereed proceedings of the 8th International Symposium on Reconfigurable Computing: Architectures, Tools and Applications, ARC 2012, held in Hongkong, China, in March 2012. The 35 revised papers presented, consisting of 25 full papers and 10 poster papers were carefully reviewed and selected from 44 submissions. The topics covered are applied RC design methods and tools, applied RC architectures, applied RC applications and critical issues in applied RC.
2012-03-02 By Oliver Choy

This book provides a general introduction to Sequential Monte Carlo (SMC) methods, also known as particle filters.

Author: Nicolas Chopin

Publisher: Springer Nature

ISBN: 9783030478452

Category: Mathematics

Page: 378

View: 357

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This book provides a general introduction to Sequential Monte Carlo (SMC) methods, also known as particle filters. These methods have become a staple for the sequential analysis of data in such diverse fields as signal processing, epidemiology, machine learning, population ecology, quantitative finance, and robotics. The coverage is comprehensive, ranging from the underlying theory to computational implementation, methodology, and diverse applications in various areas of science. This is achieved by describing SMC algorithms as particular cases of a general framework, which involves concepts such as Feynman-Kac distributions, and tools such as importance sampling and resampling. This general framework is used consistently throughout the book. Extensive coverage is provided on sequential learning (filtering, smoothing) of state-space (hidden Markov) models, as this remains an important application of SMC methods. More recent applications, such as parameter estimation of these models (through e.g. particle Markov chain Monte Carlo techniques) and the simulation of challenging probability distributions (in e.g. Bayesian inference or rare-event problems), are also discussed. The book may be used either as a graduate text on Sequential Monte Carlo methods and state-space modeling, or as a general reference work on the area. Each chapter includes a set of exercises for self-study, a comprehensive bibliography, and a “Python corner,” which discusses the practical implementation of the methods covered. In addition, the book comes with an open source Python library, which implements all the algorithms described in the book, and contains all the programs that were used to perform the numerical experiments.
2020-10-01 By Nicolas Chopin

A new framework has been developed that calculates the uncertainty in calculated quantities, such as K[subscript eff], reactivity coefficients, multigroup cross sections, and reaction rate ratios, that arise due to uncertainties in the ...

Author: Abdulla Abdulaziz Alhajri

Publisher:

ISBN: OCLC:1241691205

Category:

Page: 228

View: 439

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A new framework has been developed that calculates the uncertainty in calculated quantities, such as K[subscript eff], reactivity coefficients, multigroup cross sections, and reaction rate ratios, that arise due to uncertainties in the underlying nuclear data. This framework relies on first order uncertainty analysis using sensitivity methods. The major innovation in the proposed framework is the use of the windowed multipole formalism for calculating the sensitivities. The use of the windowed multipole formalism provides a natural, physics-inspired binning strategy for the sensitivity coefficients, while also aiding in the statistical convergence of the calculated sensitivity tallies. Additionally, our framework improves on existing methods by fully accounting for temperature effects. The proposed method allows for identifying exactly the resonances and parameters that are driving the uncertainty, and thus provides guidance to nuclear data evaluators and experimenters on how to reduce the uncertainty in the most efficient manner. Calculating the uncertainty requires two key pieces of information; the windowed multipole sensitivity coefficients, and the windowed multipole covariance matrix. A sensitivity coefficient calculation algorithm based on the CLUTCH-FM methodology was implemented in OpenMC. Several methods for obtaining the windowed multipole covariance matrix from the resonance parameter covariance matrix were explored, and ultimately an approach based on random-sampling was selected. Along the way, an analytical benchmark was developed for the purposes of validating the framework, as well as the implementation. This analytical benchmark consists of a solution to the forward and adjoint neutron transport equations. The windowed multipole covariance matrix was calculated for three isotopes; 238U , 157Gd , and 23Na . The uncertainty in K[subscript eff] due to the uncertainty in the 238U and 157Gd cross sections was calculated for two criticality safety benchmarks, and a beginning-of-life PWR model. The uncertainty of several reaction rate ratios due to the uncertainty in the 157Gd cross section was also calculated for the PWR model. The resonances of 238U and 157Gd that have the largest contribution to the uncertainty were identified for the criticality safety benchmarks.

This thesis provides a valuation framework for a path dependent financial derivative known as "accumulator" that was the subject of much controversy following the years of the financial crisis in 2009.

Author:

Publisher:

ISBN: OCLC:919672083

Category:

Page:

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This thesis provides a valuation framework for a path dependent financial derivative known as "accumulator" that was the subject of much controversy following the years of the financial crisis in 2009. For the purpose of the study, a decomposition of the product into an equivalent portfolio of call and put barrier options is established. Based on the principles of Monte Carlo simulations, sensitivity analyses for both barrier options and accumulators within different environmental conditions are performed. The simulations exhibit inverse sensitivities to the determinants of maturity, volatility, and spot rate for knock-out options and otherwise equivalent vanilla options. The empirical findings for barrier options can be brought in line with the simulated sensitivity outcomes for accumulator contracts. Accumulators appear to be very attractive products at first glance, but various interdependencies between the contracts' factors of influence account for a high payoff and valuation complexity. Without having a detailed understanding of the reciprocal impacts of each deal determinant, investors run the risk of being subject to massive unexpected losses.
2015 By