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Data publikacji: 4 czerwca 2021

Data aktualizacji: 25 lipca 2025

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1

Janzon, Krister. "Monte Carlo Path Simulation and the Multilevel Monte Carlo Method." Thesis, Umeå universitet, Institutionen för fysik, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-151975.

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A standard problem in the field of computational finance is that of pricing derivative securities. This is often accomplished by estimating an expected value of a functional of a stochastic process, defined by a stochastic differential equation (SDE). In such a setting the random sampling algorithm Monte Carlo (MC) is useful, where paths of the process are sampled. However, MC in its standard form (SMC) is inherently slow. Additionally, if the analytical solution to the underlying SDE is not available, a numerical approximation of the process is necessary, adding another layer of computational

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2

Lin, Xichen. "Monte Carlo Simulation and Integration." Scholarship @ Claremont, 2018. https://scholarship.claremont.edu/cmc_theses/2009.

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In this paper, we introduce the Tootsie Pop Algorithm and explore its use in different contexts. It can be used to estimate more general problems where a measure is defined, or in the context of statistics application, integration involving high dimensions. The Tootsie Pop Algorithm was introduced by Huber and Schott[2] The general process of Tootsie Pop Algorithm, just like what its name suggests, is a process of peeling down the outer shell, which is the larger enclosing set, to the center, which is the smaller enclosed. We obtain the average number of peels, which gives us an understanding

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3

Lee, Ming Ripman, and 李明. "Monte Carlo simulation for confined electrolytes." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2000. http://hub.hku.hk/bib/B31240513.

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Swetnam, Adam D. "Monte Carlo simulation of lattice polymers." Thesis, University of Warwick, 2011. http://wrap.warwick.ac.uk/49196/.

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The phase behaviour of lattice polymers and peptides, under various conditions, is investigated using Monte Carlo simulation. Wang-Landau sampling is used so that, in principle, phase diagrams can be determined from a single simulation. It is demonstrated that the pseudophase diagram for polymer molecules, in several environments, can be plotted when sampling only from the internal degrees of freedom, by determining an appropriate density of states. Several improvements to the simulation methods used are detailed. A new prescription for setting the modification factor in the Wang-Landau algori

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Lee, Ming Ripman. "Monte Carlo simulation for confined electrolytes /." Hong Kong : University of Hong Kong, 2000. http://sunzi.lib.hku.hk/hkuto/record.jsp?B22055009.

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Bryskhe, Henrik. "Optimization of Monte Carlo simulations." Thesis, Uppsala University, Department of Information Technology, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-121843.

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<p>This thesis considers several different techniques for optimizing Monte Carlo simulations. The Monte Carlo system used is Penelope but most of the techniques are applicable to other systems. The two mayor techniques are the usage of the graphics card to do geometry calculations, and raytracing. Using graphics card provides a very efficient way to do fast ray and triangle intersections. Raytracing provides an approximation of Monte Carlo simulation but is much faster to perform. A program was also written in order to have a platform for Monte Carlo simulations where the different techniques

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7

Voegele, Simon. "Shortfall-Minimierung Theorie und Monte Carlo Simulation /." St. Gallen, 2007. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/02922300001/$FILE/02922300001.pdf.

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8

Jud, Andreas. "Monte-Carlo-Simulation einer Überstruktur auf Lipidmembranen." [S.l. : s.n.], 1998. http://www.diss.fu-berlin.de/1998/18/index.html.

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9

Yangthaisong, Anucha. "Monte Carlo simulation of silicon-germanium transistors." Thesis, Durham University, 2002. http://etheses.dur.ac.uk/4025/.

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Self-consistent Monte Carlo simulation studies of n-channel Si/SiGe modulation doped field effect transistors (MODFETs) and silicon-on-insulator lateral bipolar junction transistors (SOI- LBJTs) are reported in this thesis. As a preliminary to the device studies Monte Carlo simulations of electron transport in bulk Si strained as if grown on Si(_0.77)Ge(_0.23) and Si(_0.55)Ge(_0.45) substrates have been carried out at 300 K, for field strengths varied from 10(^4) to 2 x 10(^7) Vm(^-1). The calculations indicate an enhancement of the average electron drift velocity when Si is tensilely strained

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10

Mee, Richard A. W. "Monte Carlo simulation of step growth polymerization." Thesis, Queen's University Belfast, 1995. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.318843.

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11

Lloyd, Jennifer A. "Numerical methods for Monte Carlo device simulation." Thesis, Massachusetts Institute of Technology, 1992. http://hdl.handle.net/1721.1/12766.

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Thesis (M.S.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 1992.<br>Includes bibliographical references (leaves 51-53).<br>by Jennifer Anne Lloyd.<br>M.S.

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12

Joo, Balint. "Efficient Monte Carlo simulation of Lattice QCD." Thesis, University of Edinburgh, 1999. http://hdl.handle.net/1842/12319.

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This thesis is concerned with the efficient simulation of lattice QCD with dynamical fermions. We discuss two aspects of this theme, the tuning of existing algorithms and the investigation of novel algorithms. We begin with an introduction to lattice QCD and Monte Carlo Methods for its simulation. Particular emphasis is placed on the difficulties of the lattice formulation of fermion fields. We then continue with a description of the Hybrid Monte Carlo (HMC) algorithm, focusing on the conditions the algorithm must obey for correctness and on some of the numerical methods required for its imple

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13

Cunningham, Andrew Donald. "Monte Carlo simulation in the marine environment." Thesis, Liverpool John Moores University, 2011. http://researchonline.ljmu.ac.uk/6001/.

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14

Jensen, Mattias, and Mikael Westlund. "Monte Carlo-simulation of whole-body absorbed." Thesis, KTH, Skolan för teknikvetenskap (SCI), 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-276422.

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Radiation protection is important when working in lab environments where radioactive sources are frequently used. Simplified geometrical models are sometimes used in literature or in education to analytically estimate the absorbed dose a human receives. This study investigates the accuracy of these models by comparing them to more advanced models and how the results differ if the dose is simulated in Geant4. Three cuboids with different shapes, and two more human-like models were used as the bodies that would receive the absorbed dose. It turned out, for such simplified cases, that the result

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15

Kazeem, Funmilayo Eniola. "Multilevel Monte Carlo simulation in options pricing." University of the Western Cape, 2014. http://hdl.handle.net/11394/4349.

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>Magister Scientiae - MSc<br>In Monte Carlo path simulations, which are used extensively in computational -finance, one is interested in the expected value of a quantity which is a functional of the solution to a stochastic differential equation [M.B. Giles, Multilevel Monte Carlo Path Simulation: Operations Research, 56(3) (2008) 607-617] where we have a scalar function with a uniform Lipschitz bound. Normally, we discretise the stochastic differential equation numerically. The simplest estimate for this expected value is the mean of the payoff (the value of an option at the terminal period)

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16

Marshall, Timothy Craig. "KINETIC MONTE CARLO SIMULATION OF BINARY ALLOYS." VCU Scholars Compass, 2018. https://scholarscompass.vcu.edu/etd/5657.

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There are many tools to simulate physical phenomena. Generally, the simulation technique is defined by the size of the simulation area. Two well know techniques for simulating atom dynamics are kinetic Monte Carlo (kMC) and molecular dynamics (MD). In this work we simulate physical vapor deposition of binary metallic systems using the kMC technique. A sufficient quantity of atoms are deposited so that morphological features can be observed. Where kMC has fallen short we have used MD to supplement our results.

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17

Poole, Christopher Mark. "Faster Monte Carlo simulation of radiotherapy geometries." Thesis, Queensland University of Technology, 2012. https://eprints.qut.edu.au/59972/1/Christopher_Poole_Thesis.pdf.

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Using Monte Carlo simulation for radiotherapy dose calculation can provide more accurate results when compared to the analytical methods usually found in modern treatment planning systems, especially in regions with a high degree of inhomogeneity. These more accurate results acquired using Monte Carlo simulation however, often require orders of magnitude more calculation time so as to attain high precision, thereby reducing its utility within the clinical environment. This work aims to improve the utility of Monte Carlo simulation within the clinical environment by developing techniques whi

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18

Tuffin, Bruno. "Simulation acceleree par les methodes de monte carlo et quasi-monte carlo : theorie et applications." Rennes 1, 1997. http://www.theses.fr/1997REN10181.

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Dans cette these nous etudions et appliquons les methodes de monte carlo et quasi-monte carlo. Nous nous interessons premierement a la theorie. Les methodes de quasi-monte carlo sont basees sur deux notions : la variation et la discrepance. Comme premiere contribution, nous ameliorons la repartition d'une famille importante de suites a discrepance faible, les suites de halton. Nous realisons ensuite une technique analogue a la reduction de la variance dans les methodes de monte carlo, la reduction de la variation. La borne de l'erreur n'etant que rarement utilisable en pratique, nous proposons

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19

Jaeckel, Alain. "Simulations Monte Carlo de chaînes confinées." Montpellier 2, 1997. http://www.theses.fr/1997MON20206.

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Par simulation monte carlo (smc), nous generons a l'ordinateur des chemins statistiques (rfws) ou auto-evitants (saws) a l'interieur de pores spheriques de rayons variables. Ces chemins modelisent respectivement des chaines polymere confinees en solvant theta et en bon solvant. A partir des chaines ainsi construites, on estime les dimensions moyennes usuelles (distance moyenne bout a bout et rayon de giration moyen), les distributions des milieux et des extremites ou tous maillons confondus dans la sphere de confinement, la variation d'entropie en fonction du confinement impose et enfin la pre

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20

Kunert, Roland. "Monte Carlo simulation of stacked quantum dot arrays." [S.l.] : [s.n.], 2006. http://deposit.ddb.de/cgi-bin/dokserv?idn=981321399.

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21

Hanlon, Peter E. "A retirement planning model using Monte Carlo simulation." Thesis, Monterey, Calif. : Springfield, Va. : Naval Postgraduate School ; Available from National Technical Information Service, 2000. http://handle.dtic.mil/100.2/ADA386389.

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22

Coskuner, Orkide. "Investigation of hydrophobic interactions by Monte Carlo simulation." [S.l. : s.n.], 2003. http://deposit.ddb.de/cgi-bin/dokserv?idn=968831664.

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23

Can, Mutan Oya. "Comparison Of Regression Techniques Via Monte Carlo Simulation." Master's thesis, METU, 2004. http://etd.lib.metu.edu.tr/upload/3/12605175/index.pdf.

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The ordinary least squares (OLS) is one of the most widely used methods for modelling the functional relationship between variables. However, this estimation procedure counts on some assumptions and the violation of these assumptions may lead to nonrobust estimates. In this study, the simple linear regression model is investigated for conditions in which the distribution of the error terms is Generalised Logistic. Some robust and nonparametric methods such as modified maximum likelihood (MML), least absolute deviations (LAD), Winsorized least squares, least trimmed squares (LTS), Theil and wei

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24

Dahlgren, Ronnie. "Monte Carlo Simulation of Light Scattering in Paper." Thesis, Linköpings universitet, Institutionen för teknik och naturvetenskap, 2005. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-97857.

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Paper is a very complex optical material. Analytical models explaining some of the optical properties of mpaper exist, but they often rely on bold simplifications. Monte Carlo simulation models are less constrained and allow for a greater degree of complexity. Grace is a three-dimensional light scattering simulation tool for paper, previously implemented in Matlab. During this project, the basesheet model was implemented in C++. This model simulates a layer containing a network of wood fibers and filler material. The new implementation makes simulations much faster. In addition, some new featu

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25

Suzuki, Yuya. "Rare-event Simulation with Markov Chain Monte Carlo." Thesis, KTH, Matematisk statistik, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-138950.

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In this thesis, we consider random sums with heavy-tailed increments. By the term random sum, we mean a sum of random variables where the number of summands is also random. Our interest is to analyse the tail behaviour of random sums and to construct an efficient method to calculate quantiles. For the sake of efficiency, we simulate rare-events (tail-events) using a Markov chain Monte Carlo (MCMC) method. The asymptotic behaviour of sum and the maximum of heavy-tailed random sums is identical. Therefore we compare random sum and maximum value for various distributions, to investigate from whic

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26

Wu, Yun-Fu. "Monte Carlo simulation studies of mechanical system reliabilities." Thesis, University of Cambridge, 1992. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.259553.

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27

Gudmundsson, Thorbjörn. "Rare-event simulation with Markov chain Monte Carlo." Doctoral thesis, KTH, Matematisk statistik, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-157522.

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Stochastic simulation is a popular method for computing probabilities or expecta- tions where analytical answers are difficult to derive. It is well known that standard methods of simulation are inefficient for computing rare-event probabilities and there- fore more advanced methods are needed to those problems. This thesis presents a new method based on Markov chain Monte Carlo (MCMC) algorithm to effectively compute the probability of a rare event. The conditional distri- bution of the underlying process given that the rare event occurs has the probability of the rare event as its normalisin

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28

Kundu, Ashoke. "Monte Carlo simulation of gas-filled radiation detectors." Thesis, University of Surrey, 2000. http://epubs.surrey.ac.uk/987/.

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29

Ma, Chang Ming. "Monte Carlo simulation of dosimeter response using transputers." Thesis, Institute of Cancer Research (University Of London), 1991. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.287080.

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30

Sadi, Toufik. "Electrothermal Monte Carlo simulation heterostructure field-effect transistors." Thesis, University of Leeds, 2007. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.445359.

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31

BURBAN, PIERRE ALEXANDRE CHARLES. "PRICING OF EXOTICS OPTIONS: USING MONTE-CARLO SIMULATION." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2008. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=11901@1.

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COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR<br>As opções financeiras são instrumentos derivativos cada dia mais usados na gestão de risco de mercado das empresas e dos investidores. Dependendo do tipo e das características da opção escolhida, geralmente não existem soluções analíticas ao problema de apreçamento do instrumento. A simulação de Monte- Carlo é um método que, aplicado ao problema de apreçamento, possibilita uma grande flexibilidade na integração das variáveis de cálculo e uma precisão que depende do número de simulações efetuadas. As opções exóticas têm cara

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32

Nail, Graeme. "Quantum chromodynamics : simulation in Monte Carlo event generators." Thesis, University of Manchester, 2018. https://www.research.manchester.ac.uk/portal/en/theses/quantum-chromodynamics-simulation-in-monte-carlo-event-generators(46dc6f2e-1552-4dfa-b435-9608932a3261).html.

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This thesis contains the work of two recent developments in the Herwig general purpose event genrator. Firstly, the results from an new implementation of the KrkNLO method in the Herwig event generator are presented. This method allows enables the generation of matched next-to-leading order plus parton shower events through the application of simple positive weights to showered leading order events. This simplicity is achieved by the construction Monte Carlo scheme parton distribution functions. This implementation contains the necessary components to simulation Drell-Yan production as well as

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33

Tari, Ilker. "Homogenized cross section determination using Monte Carlo simulation." Thesis, Massachusetts Institute of Technology, 1994. http://hdl.handle.net/1721.1/28054.

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Blanckenberg, J. P. (Jacobus Petrus). "Monte Carlo simulation of direction sensitive antineutrino detection." Thesis, Stellenbosch : University of Stellenbosch, 2010. http://hdl.handle.net/10019.1/2885.

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Thesis (MSc (Physics))--University of Stellenbosch, 2010.<br>ENGLISH ABSTRACT: Neutrino and antineutrino detection is a fairly new eld of experimental physics, mostly due to the small interaction cross section of these particles. Most of the detectors in use today are huge detectors consisting of kilotons of scintilator material and large arrays of photomultiplier tubes. Direction sensitive antineutrino detection has however, not been done (at the time of writing of this thesis). In order to establish the feasibility of direction sensitive antineutrino detection, a Monte Carlo code, DS

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35

Persson, Joakim. "Diagrammatic Monte Carlo Simulation of the Polaron Problem." Thesis, KTH, Teoretisk fysik, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-188831.

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Stephen, Alexander. "Enhancement of thermionic cooling using Monte Carlo simulation." Thesis, University of Aberdeen, 2014. http://digitool.abdn.ac.uk:80/webclient/DeliveryManager?pid=210113.

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Advances in the field of semiconductor physics have allowed for rapid development of new, more powerful devices. The new fabrication techniques allow for reductions in device geometry, increasing the possible wafer packing density. The increased output power comes with the price of excessive heat generation, the removal of which proves problematic at such scales for conventional cooling systems. Consequently, there is a rising demand for new cooling systems, preferably those that do not add large amount of additional bulk to the system. One promising system is the thermoelectric (TE) cooler wh

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Ventura, Marcelo dos Santos. "Monte Carlo simulation studies in log-symmetric regressions." Universidade Federal de Goiás, 2018. http://repositorio.bc.ufg.br/tede/handle/tede/8278.

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Submitted by Franciele Moreira (francielemoreyra@gmail.com) on 2018-03-29T12:30:01Z No. of bitstreams: 2 Dissertação - Marcelo dos Santos Ventura - 2018.pdf: 4739813 bytes, checksum: 52211670f6e17c893ffd08843056f075 (MD5) license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5)<br>Approved for entry into archive by Luciana Ferreira (lucgeral@gmail.com) on 2018-03-29T13:40:08Z (GMT) No. of bitstreams: 2 Dissertação - Marcelo dos Santos Ventura - 2018.pdf: 4739813 bytes, checksum: 52211670f6e17c893ffd08843056f075 (MD5) license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427

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Hanson, Cole Thomas. "Valuing Origin Switching Options Using Monte Carlo Simulation." Thesis, North Dakota State University, 2020. https://hdl.handle.net/10365/31821.

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Commodity trading firms work to remain competitive in the evolving agricultural industry. They work to become more efficient by increasing economies of size and scale, vertically and horizontally integrating, and diversifying geographically, or any combination of these avenues. Geographically diverse firms have access to multiple origins between which, spatial arbitrage opportunities can occur. When spatial arbitrage opportunities occur, firms take advantage of them to generate profit. Origin switching options are one way to take advantage of these opportunities. Origin switching option allow

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Abdolsalami, Farzan. "Monte Carlo simulation of high field transport equations /." The Ohio State University, 1989. http://rave.ohiolink.edu/etdc/view?acc_num=osu1487671108304647.

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Colakovic, Sabina, and Viktor Ågren. "Multilevel Monte Carlo Simulation for American Option Pricing." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-54356.

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In this thesis, we center our research around the analytical approximation of American put options with the Multilevel Monte Carlo simulation approach. The focus lies on reducing the computational complexity of estimating an expected value arising from a stochastic differential equation. Numerical results showcase that the simulations are consistent with the theoretical order of convergence of Monte Carlo simulations. The approximations are accurate and considerately more computationally efficient than the standard Monte Carlo simulation method.

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Schöön, Jonathan. "Pricing Put Options with Multilevel Monte Carlo Simulation." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-55404.

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Monte Carlo path simulations are common in mathematical and computational finance as a way of estimating the expected values of a quantity such as a European put option, which is functional to the solution of a stochastic differential equation (SDE). The computational complexity of the standard Monte Carlo (MC) method grows quite large quickly, so in this thesis we focus on the Multilevel Monte Carlo (MLMC) method by Giles, which uses multigrid ideas to reduce the computational complexity. We use a Euler-Maruyama time discretisation for the approximation of the SDE and investigate how the conv

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Steinke, Tanja. "Ein Monte-Carlo-Modell zur Simulation plasmagespritzter Wärmedämmschichten /." Tönning ; Lübeck Marburg : Der Andere Verl, 2008. http://d-nb.info/989939944/04.

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Junnarkar, Parikshit Manoj. "Monte-Carlo simulation of photoproduction of Omega meson." Master's thesis, Mississippi State : Mississippi State University, 2006. http://library.msstate.edu/etd/show.asp?etd=etd-07312006-013358.

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44

Jackson, Andrew N. "Structural phase behaviour via Monte Carlo techniques." Thesis, University of Edinburgh, 2001. http://hdl.handle.net/1842/4850.

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There are few reliable computational techniques applicable to the problem of structural phase behaviour. This is starkly emphasised by the fact that there are still a number of unanswered questions concerning the solid state of some of the simplest models of matter. To determine the phase behaviour of a given system we invoke the machinery of statistical physics, which identifies the equilibrium phase as that which minimises the free-energy. This type of problem can only be dealt with fully via numerical simulation, as any less direct approach will involve making some uncontrolled approximatio

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45

Fan, Yanan. "Efficient implementation of Markov chain Monte Carlo." Thesis, University of Bristol, 2001. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.343307.

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Ye, Haocheng. "Monte Carlo Methods in Option Pricing." Scholarship @ Claremont, 2019. https://scholarship.claremont.edu/cmc_theses/2122.

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This article investigates several variance reduction techniques in Monte Carlo simulation applied in option pricing. It first shows how Monte Carlo simulation could be leveraged in the field of option pricing by demonstrating the quality of Monte Carlo methods and properties of stock options. Then the articles simulate stock price trajectories to infer the optimal option price by averaging the payoff at maturity. The article shows in depth the effect of control variates and antithetic variates, and importance sampling in reducing variance. The last part of the article shows how the same varian

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Wang, Dong-Mei. "Monte Carlo simulations for complex option pricing." Thesis, University of Manchester, 2010. https://www.research.manchester.ac.uk/portal/en/theses/monte-carlo-simulations-for-complex-option-pricing(a908ec86-2fb2-4d5d-83e5-9bff78033edd).html.

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The thesis focuses on pricing complex options using Monte Carlo simulations. Due to the versatility of the Monte Carlo method, we are able to evaluate option prices with various underlying asset models: jump diffusion models, illiquidity models, stochastic volatility and so on. Both European options and Bermudan options are studied in this thesis.For the jump diffusion model in Merton (1973), we demonstrate European and Bermudan option pricing by the Monte Carlo scheme and extend this to multiple underlying assets; furthermore, we analyse the effect of stochastic volatility.For the illiquidity

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Furrer, Marc. "Numerical Accuracy of Least Squares Monte Carlo." St. Gallen, 2008. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/01650217002/$FILE/01650217002.pdf.

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Reichert, Michael. "Monte-Carlo-Simulationen zum Clustermodell der Quasikristalle." [S.l. : s.n.], 2001. http://www.bsz-bw.de/cgi-bin/xvms.cgi?SWB9716181.

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Haryanto, Freddy. "Monte-Carlo-Simulation des Strahlungstransports im Strahlerkopf eines Elektronenlinearbeschleunigers." [S.l. : s.n.], 2003. http://deposit.ddb.de/cgi-bin/dokserv?idn=968559891.

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