Essentials of Monte Carlo Simulation

Statistical Methods for Building Simulation Models

Author: Nick T. Thomopoulos

Publisher: Springer Science & Business Media

ISBN: 1461460220

Category: Mathematics

Page: 174

View: 490

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Essentials of Monte Carlo Simulation focuses on the fundamentals of Monte Carlo methods using basic computer simulation techniques. The theories presented in this text deal with systems that are too complex to solve analytically. As a result, readers are given a system of interest and constructs using computer code, as well as algorithmic models to emulate how the system works internally. After the models are run several times, in a random sample way, the data for each output variable(s) of interest is analyzed by ordinary statistical methods. This book features 11 comprehensive chapters, and discusses such key topics as random number generators, multivariate random variates, and continuous random variates. Over 100 numerical examples are presented as part of the appendix to illustrate useful real world applications. The text also contains an easy to read presentation with minimal use of difficult mathematical concepts. Very little has been published in the area of computer Monte Carlo simulation methods, and this book will appeal to students and researchers in the fields of Mathematics and Statistics.

Die Monte-Carlo-Methode

Beispiele unter Excel VBA

Author: Harald Nahrstedt

Publisher: Springer-Verlag

ISBN: 3658101490

Category: Mathematics

Page: 45

View: 6535

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Harald Nahrstedt zeigt hier den pragmatisch technischen und weniger den wissenschaftlichen Ansatz, wie Excel mit seinen Programmiermöglichkeiten sich immer mehr zu einem universellen Arbeitsmittel entwickelt. So ist die Simulation mit Hilfe von Pseudozufallszahlen ein schneller und preiswerter Weg zu fachlichen Aussagen. Den Rahmen dieser Abhandlung bildet der geschichtliche Hintergrund.

Monte Carlo Methods in Financial Engineering

Author: Paul Glasserman

Publisher: Springer Science & Business Media

ISBN: 0387216170

Category: Mathematics

Page: 596

View: 8359

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From the reviews: "Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method. The book will appeal to graduate students, researchers, and most of all, practicing financial engineers [...] So often, financial engineering texts are very theoretical. This book is not." --Glyn Holton, Contingency Analysis

Reliability Assessment of Electric Power Systems Using Monte Carlo Methods

Author: Billinton,W. Li

Publisher: Springer Science & Business Media

ISBN: 9780306447815

Category: Technology & Engineering

Page: 352

View: 1373

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The application of quantitative reliability evaluation in electric power sys tems has now evolved to the point at which most utilities use these techniques in one or more areas of their planning, design, and operation. Most of the techniques in use are based on analytical models and resulting analytical evaluation procedures. Improvements in and availability of high-speed digi tal computers have created the opportunity to analyze many of these prob lems using stochastic simulation methods and over the last decade there has been increased interest in and use made of Monte Carlo simulation in quantitative power system reliability assessment. Monte Carlo simulation is not a new concept and recorded applications have existed for at least 50 yr. However, localized high-speed computers with large-capacity storage have made Monte Carlo simulation an available and sometimes preferable option for many power system reliability applications. Monte Carlo simulation is also an integral part of a modern undergrad uate or graduate course on reliability evaluation of general engineering systems or specialized areas such as electric power systems. It is hoped that this textbook will help formalize the many existing applications of Monte Carlo simulation and assist in their integration in teaching programs. This book presents the basic concepts associated with Monte Carlo simulation.

Modeling Risk, + DVD

Applying Monte Carlo Risk Simulation, Strategic Real Options, Stochastic Forecasting, and Portfolio Optimization

Author: Johnathan Mun

Publisher: John Wiley & Sons

ISBN: 0470620013

Category: Business & Economics

Page: 976

View: 7014

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An updated guide to risk analysis and modeling Although risk was once seen as something that was both unpredictable and uncontrollable, the evolution of risk analysis tools and theories has changed the way we look at this important business element. In the Second Edition of Analyzing and Modeling Risk, expert Dr. Johnathan Mun provides up-to-date coverage of risk analysis as it is applied within the realms of business risk analysis and offers an intuitive feel of what risk looks like, as well as the different ways of quantifying it. This Second Edition provides professionals in all industries a more comprehensive guide on such key concepts as risk and return, the fundamentals of model building, Monte Carlo simulation, forecasting, time-series and regression analysis, optimization, real options, and more. Includes new examples, questions, and exercises as well as updates using Excel 2007 Book supported by author's proprietary risk analysis software found on the companion CD-ROM Offers both a qualitative and quantitative description of risk Filled with in-depth insights and practical advice, this reliable resource covers all of the essential tools and techniques that risk managers need to successfully conduct risk analysis. Note: CD-ROM/DVD and other supplementary materials are not included as part of eBook file.

A Guide to Monte Carlo Simulations in Statistical Physics

Author: David P. Landau,Kurt Binder

Publisher: Cambridge University Press

ISBN: 9780521653664

Category: Mathematics

Page: 384

View: 6815

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This book describes all aspects of Monte Carlo simulation of complex physical systems encountered in condensed-matter physics and statistical mechanics, as well as in related fields, such as polymer science and lattice gauge theory. The authors give a succinct overview of simple sampling methods and develop the importance sampling method. In addition they introduce quantum Monte Carlo methods, aspects of simulations of growth phenomena and other systems far from equilibrium, and the Monte Carlo Renormalization Group approach to critical phenomena. The book includes many applications, examples, and current references, and exercises to help the reader.

Monte Carlo Methods for Particle Transport

Author: Alireza Haghighat

Publisher: CRC Press

ISBN: 1466592540

Category: Mathematics

Page: 272

View: 2937

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The Monte Carlo method has become the de facto standard in radiation transport. Although powerful, if not understood and used appropriately, the method can give misleading results. Monte Carlo Methods for Particle Transport teaches appropriate use of the Monte Carlo method, explaining the method’s fundamental concepts as well as its limitations. Concise yet comprehensive, this well-organized text: Introduces the particle importance equation and its use for variance reduction Describes general and particle-transport-specific variance reduction techniques Presents particle transport eigenvalue issues and methodologies to address these issues Explores advanced formulations based on the author’s research activities Discusses parallel processing concepts and factors affecting parallel performance Featuring illustrative examples, mathematical derivations, computer algorithms, and homework problems, Monte Carlo Methods for Particle Transport provides nuclear engineers and scientists with a practical guide to the application of the Monte Carlo method.

Explorations in Monte Carlo Methods

Author: Ronald W. Shonkwiler,Franklin Mendivil

Publisher: Springer Science & Business Media

ISBN: 038787836X

Category: Mathematics

Page: 243

View: 978

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Monte Carlo methods are among the most used and useful computational tools available today, providing efficient and practical algorithims to solve a wide range of scientific and engineering problems. Applications covered in this book include optimization, finance, statistical mechanics, birth and death processes, and gambling systems. Explorations in Monte Carlo Methods provides a hands-on approach to learning this subject. Each new idea is carefully motivated by a realistic problem, thus leading from questions to theory via examples and numerical simulations. Programming exercises are integrated throughout the text as the primary vehicle for learning the material. Each chapter ends with a large collection of problems illustrating and directing the material. This book is suitable as a textbook for students of engineering and the sciences, as well as mathematics.

Reliability Assessment Using Stochastic Finite Element Analysis

Author: Achintya Haldar,Sankaran Mahadevan

Publisher: John Wiley & Sons

ISBN: 9780471369615

Category: Mathematics

Page: 328

View: 9740

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The first complete guide to using the Stochastic Finite Element Method for reliability assessment Unlike other analytical reliability estimation techniques, the Stochastic Finite Element Method (SFEM) can be used for both implicit and explicit performance functions, making it a particularly powerful and robust tool for today's engineer. This book, written by two pioneers in SFEM-based methodologies, shows how to use SFEM for the reliability analysis of a wide range of structures. It begins by reviewing essential risk concepts, currently available risk evaluation procedures, and the use of analytical and sampling methods in estimating risk. Next, it introduces SFEM evaluation procedures, with detailed coverage of displacement-based and stress-based deterministic finite element approaches. Linear, nonlinear, static, and dynamic problems are considered separately to demonstrate the robustness of the methods. The risk or reliability estimation procedure for each case is presented in different chapters, with theory complemented by a useful series of examples. Integrating advanced concepts in risk-based design, finite elements, and mechanics, Reliability Assessment Using Stochastic Finite Element Analysis is vital reading for engineering professionals and students in all areas of the field.

Monte Carlo Simulation and Finance

Author: Don L. McLeish

Publisher: John Wiley & Sons

ISBN: 1118160940

Category: Business & Economics

Page: 387

View: 799

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Monte Carlo methods have been used for decades in physics, engineering, statistics, and other fields. Monte Carlo Simulation and Finance explains the nuts and bolts of this essential technique used to value derivatives and other securities. Author and educator Don McLeish examines this fundamental process, and discusses important issues, including specialized problems in finance that Monte Carlo and Quasi-Monte Carlo methods can help solve and the different ways Monte Carlo methods can be improved upon. This state-of-the-art book on Monte Carlo simulation methods is ideal for finance professionals and students. Order your copy today.

Nuclear Computational Science

A Century in Review

Author: Yousry Azmy,Enrico Sartori

Publisher: Springer Science & Business Media

ISBN: 9789048134113

Category: Technology & Engineering

Page: 470

View: 6352

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Nuclear engineering has undergone extensive progress over the years. In the past century, colossal developments have been made and with specific reference to the mathematical theory and computational science underlying this discipline, advances in areas such as high-order discretization methods, Krylov Methods and Iteration Acceleration have steadily grown. Nuclear Computational Science: A Century in Review addresses these topics and many more; topics which hold special ties to the first half of the century, and topics focused around the unique combination of nuclear engineering, computational science and mathematical theory. Comprising eight chapters, Nuclear Computational Science: A Century in Review incorporates a number of carefully selected issues representing a variety of problems, providing the reader with a wealth of information in both a clear and concise manner. The comprehensive nature of the coverage and the stature of the contributing authors combine to make this a unique landmark publication. Targeting the medium to advanced level academic, this book will appeal to researchers and students with an interest in the progression of mathematical theory and its application to nuclear computational science.

Monte Carlo

Author: George Fishman

Publisher: Springer Science & Business Media

ISBN: 9780387945279

Category: Business & Economics

Page: 698

View: 1917

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Apart from a thorough exploration of all the important concepts, this volume includes over 75 algorithms, ready for putting into practice. The book also contains numerous hands-on implementations of selected algorithms to demonstrate applications in realistic settings. Readers are assumed to have a sound understanding of calculus, introductory matrix analysis, and intermediate statistics, but otherwise the book is self-contained. Suitable for graduates and undergraduates in mathematics and engineering, in particular operations research, statistics, and computer science.

Essentials of Risk Management in Finance

Author: Anthony Tarantino

Publisher: John Wiley & Sons

ISBN: 9780470946350

Category: Business & Economics

Page: 224

View: 8779

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A concise and and easy to follow introduction to financial risk management This basic survey text offers an accessible introduction to financial risk management, covered in its major components: credit, market, operational, liquidity, legal, and reputational, along with user-friendly processes and tools to conduct your own risk assessments and risk alignments. While there are some mathematical concepts included, these are kept at levels everyone will find easy to grasp. Provides a comprehensive overview of financial risk management, including credit, market, operational, liquidity, legal, and reputational risk areas Discusses the latest trends and next generation techniques emerging in financial risk management Provides risk assessment and risk alignment tools and examples This book offers a good basic understanding of the major areas of risk exposure that all organizations, both public and private, face in operating in today's complex global marketplace. It provides insights into best practices and next generation techniques for readers entering government, not-for-profit, business, and IT positions in which risk management will play an ever expanding role.

Monte Carlo Simulation with Applications to Finance

Author: Hui Wang

Publisher: CRC Press

ISBN: 1466566906

Category: Business & Economics

Page: 292

View: 1554

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Developed from the author’s course on Monte Carlo simulation at Brown University, Monte Carlo Simulation with Applications to Finance provides a self-contained introduction to Monte Carlo methods in financial engineering. It is suitable for advanced undergraduate and graduate students taking a one-semester course or for practitioners in the financial industry. The author first presents the necessary mathematical tools for simulation, arbitrary free option pricing, and the basic implementation of Monte Carlo schemes. He then describes variance reduction techniques, including control variates, stratification, conditioning, importance sampling, and cross-entropy. The text concludes with stochastic calculus and the simulation of diffusion processes. Only requiring some familiarity with probability and statistics, the book keeps much of the mathematics at an informal level and avoids technical measure-theoretic jargon to provide a practical understanding of the basics. It includes a large number of examples as well as MATLAB® coding exercises that are designed in a progressive manner so that no prior experience with MATLAB is needed.

Monte Carlo Modeling for Electron Microscopy and Microanalysis

Author: David C. Joy

Publisher: Oxford University Press

ISBN: 9780195358469

Category: Computers

Page: 224

View: 1075

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This book describes for the first time how Monte Carlo modeling methods can be applied to electron microscopy and microanalysis. Computer programs for two basic types of Monte Carlo simulation are developed from physical models of the electron scattering process--a single scattering program capable of high accuracy but requiring long computation times, and a plural scattering program which is less accurate but much more rapid. Optimized for use on personal computers, the programs provide a real time graphical display of the interaction. The programs are then used as the starting point for the development of programs aimed at studying particular effects in the electron microscope, including backscattering, secondary electron production, EBIC and cathodo-luminescence imaging, and X-ray microanalysis. The computer code is given in a fully annotated format so that it may be readily modified for specific problems. Throughout, the author includes numerous examples of how such applications can be used. Students and professionals using electron microscopes will want to read this important addition to the literature.

Handbook in Monte Carlo Simulation

Applications in Financial Engineering, Risk Management, and Economics

Author: Paolo Brandimarte

Publisher: John Wiley & Sons

ISBN: 1118594517

Category: Business & Economics

Page: 688

View: 2410

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An accessible treatment of Monte Carlo methods, techniques, and applications in the field of finance and economics Providing readers with an in-depth and comprehensive guide, the Handbook in Monte Carlo Simulation: Applications in Financial Engineering, Risk Management, and Economics presents a timely account of the applicationsof Monte Carlo methods in financial engineering and economics. Written by an international leading expert in thefield, the handbook illustrates the challenges confronting present-day financial practitioners and provides various applicationsof Monte Carlo techniques to answer these issues. The book is organized into five parts: introduction andmotivation; input analysis, modeling, and estimation; random variate and sample path generation; output analysisand variance reduction; and applications ranging from option pricing and risk management to optimization. The Handbook in Monte Carlo Simulation features: An introductory section for basic material on stochastic modeling and estimation aimed at readers who may need a summary or review of the essentials Carefully crafted examples in order to spot potential pitfalls and drawbacks of each approach An accessible treatment of advanced topics such as low-discrepancy sequences, stochastic optimization, dynamic programming, risk measures, and Markov chain Monte Carlo methods Numerous pieces of R code used to illustrate fundamental ideas in concrete terms and encourage experimentation The Handbook in Monte Carlo Simulation: Applications in Financial Engineering, Risk Management, and Economics is a complete reference for practitioners in the fields of finance, business, applied statistics, econometrics, and engineering, as well as a supplement for MBA and graduate-level courses on Monte Carlo methods and simulation.

Essentials of Intellectual Property

Law, Economics, and Strategy

Author: Alexander I. Poltorak,Paul J. Lerner

Publisher: John Wiley & Sons

ISBN: 9781118009956

Category: Law

Page: 320

View: 2139

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The definitive primer on intellectual property for business professionals, non-IP attorneys, entrepreneurs, and inventors Full of valuable tips, techniques, illustrative real-world examples, exhibits, and best practices, the Second Edition of this handy and concise paperback will help you stay up to date on the newest thinking, strategies, developments, and case law in intellectual property. Presents fundamentals of patents, trademarks, copyrights, trade secrets and other less-know forms of IP, such as registered design and mask works Covers important concepts such as IP strategy, protection, audits, valuation, management, and competitive intelligence Offers an introduction to IP licensing and enforcement Now features discussion of critical precedent-setting recent IP cases and proposed patent reform Providing business professionals and IP owners with in-depth knowledge of this extremely important subject, this book helps those new to this field gain a better understanding and appreciation for the results of their creative abilities.

Simulation Modeling and Analysis with ARENA

Author: Tayfur Altiok,Benjamin Melamed

Publisher: Elsevier

ISBN: 9780080548951

Category: Computers

Page: 456

View: 6655

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Simulation Modeling and Analysis with Arena is a highly readable textbook which treats the essentials of the Monte Carlo discrete-event simulation methodology, and does so in the context of a popular Arena simulation environment. It treats simulation modeling as an in-vitro laboratory that facilitates the understanding of complex systems and experimentation with what-if scenarios in order to estimate their performance metrics. The book contains chapters on the simulation modeling methodology and the underpinnings of discrete-event systems, as well as the relevant underlying probability, statistics, stochastic processes, input analysis, model validation and output analysis. All simulation-related concepts are illustrated in numerous Arena examples, encompassing production lines, manufacturing and inventory systems, transportation systems, and computer information systems in networked settings. · Introduces the concept of discrete event Monte Carlo simulation, the most commonly used methodology for modeling and analysis of complex systems · Covers essential workings of the popular animated simulation language, ARENA, including set-up, design parameters, input data, and output analysis, along with a wide variety of sample model applications from production lines to transportation systems · Reviews elements of statistics, probability, and stochastic processes relevant to simulation modeling * Ample end-of-chapter problems and full Solutions Manual * Includes CD with sample ARENA modeling programs

Background Processes in the Electrostatic Spectrometers of the KATRIN Experiment

Author: Susanne Mertens

Publisher: Springer Science & Business Media

ISBN: 3319011774

Category: Science

Page: 196

View: 4666

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Neutrinos continue to be the most mysterious and, arguably, the most fascinating particles of the Standard Model as their intrinsic properties such as absolute mass scale and CP properties are unknown. The open question of the absolute neutrino mass scale will be addressed with unprecedented accuracy by the Karlsruhe Tritium Neutrino (KATRIN) experiment, currently under construction. This thesis focusses on the spectrometer part of KATRIN and background processes therein. Various background sources such as small Penning traps, as well as nuclear decays from single radon atoms are fully characterized here for the first time. Most importantly, however, it was possible to reduce the background in the spectrometer by more than five orders of magnitude by eliminating Penning traps and by developing a completely new background reduction method by stochastically heating trapped electrons using electron cyclotron resonance (ECR). The work beautifully demonstrates that the obstacles and challenges in measuring the absolute mass scale of neutrinos can be met successfully if novel experimental tools (ECR) and novel computing methods (KASSIOPEIA) are combined to allow almost background-free tritium ß-spectroscopy.