经济学 >>> 理论经济学 >>> 政治经济学 宏观经济学 微观经济学 比较经济学 经济地理学 发展经济学 生产力经济学 经济思想史 经济史 世界经济史 中国经济史 经济史其他学科 国民经济学 管理经济学 数量经济学 技术经济学 生态经济学 城市经济学 资源经济学 环境经济学 物资经济学 信息经济学 财政学 税务管理学 货币银行学 保险学 国防经济学 经济学其他学科
搜索结果: 1-15 共查到理论经济学 Monte Carlo相关记录21条 . 查询时间(0.125 秒)
囊泡形成的自组装行为研究及Monte Carlo模拟(图)
High performance computing (HPC) is a very attractive and relatively new area of research, which gives promising results in many applications. In this paper HPC is used for pricing of American options...
This paper proposes a Monte Carlo technique for pricing the forward yield to maturity, when the volatility of the zero-coupon bond is known. We make the assumption of deterministic default intensity (...
In this article, we propose a Milstein finite difference scheme for a stochastic partial differential equation (SPDE) describing a large particle system. We show, by means of Fourier analysis, that th...
We discuss suitable classes of diffusion processes, for which functionals relevant to finance can be computed via Monte Carlo methods. In particular, we construct exact simulation schemes for processe...
We investigate the extension of the multilevel Monte Carlo path simulation method to jump-diffusion SDEs. We consider models with finite rate activity , using a jump-adapted discretisation in which ...
This paper analyzes Least Squares Monte Carlo (LSM) algorithm, which is proposed by Longstaff and Schwartz (2001) for pricing American style securities. This algorithm is based on the projection of th...
We study the use of the multilevel Monte Carlo technique in the context of the calculation of Greeks. The pathwise sensitivity analysis differentiates the path evolution and reduces the payoff's smoot...
We develop the idea of using Monte Carlo sampling of random portfolios to solve portfolio investment problems. In this first paper we explore the need for more general optimization tools, and conside...
This article presents di erential equations and solution methods for the functions of the form A(z) = F􀀀1(G(z)), where F and G are cumu-lative distribution functions. Such functions allow the...
This paper develops a matrix-variate adaptive Markov chain Monte Carlo (MCMC) methodology for Bayesian Cointegrated Vector Auto Regressions (CVAR). We replace the popular approach to sampling Bayesian...
Diffusion processes are widely used in engineering, fiance, physics and other fields. Usually continuous time diffusion processes are only observable at discrete time points. For many applications, it...
Adaptive Monte Carlo methods are recent variance reduction techniques. In this work, we propose a mathematical setting which greatly relaxes the assumptions needed by for the adaptive importance samp...
The hybrid Monte Carlo (HMC) algorithm is applied for the Bayesian inference of the stochastic volatility (SV) model. We use the HMC algorithm for the Markov chain Monte Carlo updates of volatility va...
In this paper we use a hybrid Monte Carlo-Optimal quantization method to approximate the conditional survival probabilities of a firm, given a structural model for its credit default, under partial in...

中国研究生教育排行榜-

正在加载...

中国学术期刊排行榜-

正在加载...

世界大学科研机构排行榜-

正在加载...

中国大学排行榜-

正在加载...

人 物-

正在加载...

课 件-

正在加载...

视听资料-

正在加载...

研招资料 -

正在加载...

知识要闻-

正在加载...

国际动态-

正在加载...

会议中心-

正在加载...

学术指南-

正在加载...

学术站点-

正在加载...