Complex derivatives valuation: applying the Least-Squares Monte Carlo Simulation Method with several polynomial basis

Background:This article investigates the Least-Squares Monte Carlo Method by using different polynomial basis in American Asian Options pricing.The standard approach in the option pricing literature is to choose the basis arbitrarily.By comparing four different polynomial basis we show that the choice of basis interferes in the option's price.Methods:We assess Least-Squares Method performance in pricing four different American Asian Options by using four polynomial basis:Power,Laguerre,Legendre and Hermite A.To every American Asian Option priced,three sets of parameters are used in order to evaluate it properly.Results:We show that the choice of the basis interferes in the option's price by showing that one of them converges to the option's value faster than any other by using fewer simulated paths.In the case of an Amerasian call option,for example,we find that the preferable polynomial basis is Hermite A.For an Amerasian put option,the Power polynomial basis is recommended.Such empirical outcome is theoretically unpredictable,since in principle all basis can be indistinctly used when pricing the derivative.Conclusion:In this article The Least-Squares Monte Carlo Method performance is assessed in pricing four different types of American Asian Options by using four different polynomial basis through three different sets of parameters.Our results suggest that one polynomial basis is best suited to perform the method when pricing an American Asian option.Theoretically all basis can be indistinctly used when pricing the derivative.However,our results does not confirm these.We find that when pricing an American Asian put option,Power A is better than the other basis we have studied here whereas when pricing an American Asian call,Hermite A is better.

Monte Carlo method for evaluation of surface emission rate measurement uncertainty

The aim of this study is to evaluate the uncertainty of 2πα and 2πβ surface emission rates using the windowless multiwire proportional counter method.This study used the Monte Carlo method (MCM) to validate the conventional Guide to the Expression of Uncertainty in Measurement (GUM) method.A dead time measurement model for the two-source method was established based on the characteristics of a single-channel measurement system,and the voltage threshold correction factor measurement function was indirectly obtained by fitting the threshold correction curve.The uncertainty in the surface emission rate was calculated using the GUM method and the law of propagation of uncertainty.The MCM provided clear definitions for each input quantity and its uncertainty distribution,and the simulation training was realized with a complete and complex mathematical model.The results of the surface emission rate uncertainty evaluation for four radioactive plane sources using both methods showed the uncertainty’s consistency E_(n)<0.070 for the comparison of each source,and the uncertainty results of the GUM were all lower than those of the MCM.However,the MCM has a more objective evaluation process and can serve as a validation tool for GUM results.

Emergent topological ordered phase for the Ising-XY model revealed by cluster-updating Monte Carlo method

The two-component cold atom systems with anisotropic hopping amplitudes can be phenomenologically described by a two-dimensional Ising-XY coupled model with spatial anisotropy.At low temperatures,theoretical predictions[Phys.Rev.A 72053604(2005)]and[arXiv:0706.1609]indicate the existence of a topological ordered phase characterized by Ising and XY disorder but with 2XY ordering.However,due to ergodic difficulties faced by Monte Carlo methods at low temperatures,this topological phase has not been numerically explored.We propose a linear cluster updating Monte Carlo method,which flips spins without rejection in the anisotropy limit but does not change the energy.Using this scheme and conventional Monte Carlo methods,we succeed in revealing the nature of topological phases with half-vortices and domain walls.In the constructed global phase diagram,Ising and XY-type transitions are very close to each other and differ significantly from the schematic phase diagram reported earlier.We also propose and explore a wide range of quantities,including magnetism,superfluidity,specific heat,susceptibility,and even percolation susceptibility,and obtain consistent and reliable results.Furthermore,we observed first-order transitions characterized by common intersection points in magnetizations for different system sizes,as opposed to the conventional phase transition where Binder cumulants of various sizes share common intersections.The critical exponents of different types of phase transitions are reasonably fitted.The results are useful to help cold atom experiments explore the half-vortex topological phase.

Method“Monte Carlo”in healthcare

In public health,simulation modeling stands as an invaluable asset,enabling the evaluation of new systems without their physical implementation,experimentation with existing systems without operational adjustments,and testing system limits without real-world repercussions.In simulation modeling,the Monte Carlo method emerges as a powerful yet underutilized tool.Although the Monte Carlo method has not yet gained widespread prominence in healthcare,its technological capabilities hold promise for substantial cost reduction and risk mitigation.In this review article,we aimed to explore the transformative potential of the Monte Carlo method in healthcare contexts.We underscore the significance of experiential insights derived from simulated experimentation,especially in resource-constrained scenarios where time,financial constraints,and limited resources necessitate innovative and efficient approaches.As public health faces increasing challenges,incorporating the Monte Carlo method presents an opportunity for enhanced system construction,analysis,and evaluation.

Monte Carlo方法在移动通信可靠性分析中的应用

文章主要探讨Monte Carlo方法在移动通信可靠性分析中的应用,并引入重要抽样技术对Monte Carlo方法进行优化。首先,文章介绍Monte Carlo方法的基本原理及其在移动通信可靠性分析中的应用。其次,引入重要抽样技术对该方法进行优化。最后,利用优化网络工程工具(Optimized Network Engineering Tools,OPNET)模拟平台构建相应的移动通信网络模型,并对比Monte Carlo方法和本文研究的优化方法在不同样本数量下的性能差异。结果表明,重要抽样技术的引入显著提高了Monte Carlo方法在移动通信可靠性分析中的准确性和效率,减少了方差,验证了该方法在移动通信可靠性分析中的有效性和实用性。

Application of the Monte Carlo Method in Simulative Generation Test Problems Simulative Generation Test Problems

An approach for generating test problems by a computer using the Monte Carlo method based upon user-given characterizations is described.A single point X~* is prespocified by the user to be a solution of the test problems.The approach is flex- ible enough to specify function values,gradients,Hesse,degeneracy degree and ill- conditioned degree at the point X~*.Other numerical features such as indefiniteness, convexity are also under user's control.

Application of Monte Carlo method in rudder control precision

After the trajectory simulation model of rudder control rocket with six degrees of freedom is established by Matlab/ Simulink, the simulated targeting of rudder control rocket with rudder angle error and starting control moment error is carried out respectively by means of Monte Carlo method and the distribution of impact points of rudder control rocket is counted from all the successful subsamples. In the case of adding interference errors associated with rudder angle error and starting time error, the simulation analysis of impact point dispersion is done and its lateral and longitudinal correction abilities at different targeting angles are simulated to identify the effects of these factors on characteristics and control precision of the rudder control rocket, which provides the relevant reference for high-precision design of rudder control system.

Statistical Modification Analysis of Helical Planetary Gears based on Response Surface Method and Monte Carlo Simulation

Tooth modification technique is widely used in gear industry to improve the meshing performance of gearings. However, few of the present studies on tooth modification considers the influence of inevitable random errors on gear modification effects. In order to investigate the uncertainties of tooth modification amount variations on system＇s dynamic behaviors of a helical planetary gears, an analytical dynamic model including tooth modification parameters is proposed to carry out a deterministic analysis on the dynamics of a helical planetary gear. The dynamic meshing forces as well as the dynamic transmission errors of the sun-planet 1 gear pair with and without tooth modifications are computed and compared to show the effectiveness of tooth modifications on gear dynamics enhancement. By using response surface method, a fitted regression model for the dynamic transmission error（DTE） fluctuations is established to quantify the relationship between modification amounts and DTE fluctuations. By shifting the inevitable random errors arousing from manufacturing and installing process to tooth modification amount variations, a statistical tooth modification model is developed and a methodology combining Monte Carlo simulation and response surface method is presented for uncertainty analysis of tooth modifications. The uncertainly analysis reveals that the system＇s dynamic behaviors do not obey the normal distribution rule even though the design variables are normally distributed. In addition, a deterministic modification amount will not definitely achieve an optimal result for both static and dynamic transmission error fluctuation reduction simultaneously.

Study of the Conductance Characteristic of Doped Polymer by Monte Carlo Method

The conduct mechanism of the doped polymer is considered. In an asymmetrysystem composed of high polymer and doping conductive matte, chain or congeries framework will beformed between the conductive particles to improve the conductance characteristic. In thisprocession, the conductive particles interact to each other. In this paper, we describe theconductance of the doped polymer by Monte Carlo method. The results accord with the experimentsquite well. It can be concluded that there is an evident change of doped polymer from nonconductorto metal.

Monte Carlo Method for the Uncertainty Evaluation of Spatial Straightness Error Based on New Generation Geometrical Product Specification

Straightness error is an important parameter in measuring high-precision shafts. New generation geometrical product speeifieation（GPS） requires the measurement uncertainty characterizing the reliability of the results should be given together when the measurement result is given. Nowadays most researches on straightness focus on error calculation and only several research projects evaluate the measurement uncertainty based on ＂The Guide to the Expression of Uncertainty in Measurement（GUM）＂. In order to compute spatial straightness error（SSE） accurately and rapidly and overcome the limitations of GUM, a quasi particle swarm optimization（QPSO） is proposed to solve the minimum zone SSE and Monte Carlo Method（MCM） is developed to estimate the measurement uncertainty. The mathematical model of minimum zone SSE is formulated. In QPSO quasi-random sequences are applied to the generation of the initial position and velocity of particles and their velocities are modified by the constriction factor approach. The flow of measurement uncertainty evaluation based on MCM is proposed, where the heart is repeatedly sampling from the probability density function（PDF） for every input quantity and evaluating the model in each case. The minimum zone SSE of a shaft measured on a Coordinate Measuring Machine（CMM） is calculated by QPSO and the measurement uncertainty is evaluated by MCM on the basis of analyzing the uncertainty contributors. The results show that the uncertainty directly influences the product judgment result. Therefore it is scientific and reasonable to consider the influence of the uncertainty in judging whether the parts are accepted or rejected, especially for those located in the uncertainty zone. The proposed method is especially suitable when the PDF of the measurand cannot adequately be approximated by a Gaussian distribution or a scaled and shifted t-distribution and the measurement model is non-linear.

Quantum Boltzmann equation solved by Monte Carlo method for nano-scale semiconductor devices simulation

A two-dimensional （2D） full band self-consistent ensemble Monte Carlo （MC） method for solving the quantum Boltzmann equation, including collision broadening and quantum potential corrections, is developed to extend the MC method to the study of nano-scale semiconductor devices with obvious quantum mechanical （QM） effects. The quantum effects both in real space and momentum space in nano-scale semiconductor devices can be simulated. The effective mobility in the inversion layer of n and p channel MOSFET is simulated and compared with experimental data to verify this method. With this method 50nm ultra thin body silicon on insulator MOSFET are simulated. Results indicate that this method can be used to simulate the 2D QM effects in semiconductor devices including tunnelling effect.

Forced propagation method for Monte Carlo fission source convergence acceleration in the RMC

In loosely coupled or large-scale problems with high dominance ratios,slow fission source convergence can take extremely long time,reducing Monte Carlo(MC)criticality calculation efficiency.Although various acceleration methods have been developed,some methods cannot reduce convergence times,whereas others have been limited to specific problem geometries.In this study,a new fission source convergence acceleration(FSCA)method,the forced propagation(FP)method,has been proposed,which forces the fission source to propagate and accelerate fission source convergence.Additionally,some stabilization techniques have been designed to render the method more practical.The resulting stabilized method was then successfully implemented in the MC transport code,and its feasibility and effectiveness were tested using the modified OECD/NEA,one-dimensional slab benchmark,and the Hoogenboom full-core problem.The comparison results showed that the FP method was able to achieve efficient FSCA.

Monte Carlo Analytic Hierarchy Process (MAHP) approach to selection of optimum mining method

One of the most critical and complicated steps in mine design is a selection of suitable mining method based upon geological,geotechnical,geographical,safety and economical parameters.The aim of this study is developing a Monte Carlo simulation to selection the optimum mining method by using effective and major criteria and at the same time,taking subjective judgments of decision makers into consideration.Proposed approach is based on the combination of Monte Carlo simulation with conventional Analytic Hierarchy Process(AHP).Monte Carlo simulation is used to determine the confdence level of each alternative’s score,is calculated by AHP,with the respect to the variance of decision makers’opinion.The proposed method is applied for Jajarm Bauxite Mine in Iran and eventually the most appropriate mining methods for this mine are ranked.

Elbow precision machining technology by abrasive flow based on direct Monte Carlo method

The investigation was carried out on the technical problems of finishing the inner surface of elbow parts and the action mechanism of particles in elbow precision machining by abrasive flow.This work was analyzed and researched by combining theory,numerical and experimental methods.The direct simulation Monte Carlo(DSMC)method and the finite element analysis method were combined to reveal the random collision of particles during the precision machining of abrasive flow.Under different inlet velocity,volume fraction and abrasive particle size,the dynamic pressure and turbulence flow energy of abrasive flow in elbow were analyzed,and the machining mechanism of particles on the wall and the influence of different machining parameters on the precision machining quality of abrasive flow were obtained.The test results show the order of the influence of different parameters on the quality of abrasive flow precision machining and establish the optimal process parameters.The results of the surface morphology before and after the precision machining of the inner surface of the elbow are discussed,and the surface roughness Ra value is reduced from 1.125μm to 0.295μm after the precision machining of the abrasive flow.The application of DSMC method provides special insights for the development of abrasive flow technology.

Monte Carlo Simulation of Fractures Using Isogeometric Boundary Element Methods Based on POD-RBF

This paper presents a novel framework for stochastic analysis of linear elastic fracture problems.Monte Carlo simulation(MCs)is adopted to address the multi-dimensional uncertainties,whose computation cost is reduced by combination of Proper Orthogonal Decomposition(POD)and the Radial Basis Function(RBF).In order to avoid re-meshing and retain the geometric exactness,isogeometric boundary element method(IGABEM)is employed for simulation,in which the Non-Uniform Rational B-splines(NURBS)are employed for representing the crack surfaces and discretizing dual boundary integral equations.The stress intensity factors(SIFs)are extracted by M integral method.The numerical examples simulate several cracked structures with various uncertain parameters such as load effects,materials,geometric dimensions,and the results are verified by comparison with the analytical solutions.

IMPROVED STRATIFIED SAMPLING MONTE CARLO METHOD TO ANALYZE RELIABILITY OF STRUCTURAL SYSTEMS

A stratified sampling Monte Carlo method to analyze the reliability of structural systems is presented. Introducing a small exploratory simulation, this method overcomes the difficulties for getting the systematic sampling probability of all the strata. Several useful and efficient stratification methods are given and the strategies of stratification and simulation are studied. A general conclusion has been presented corresponding to actual engineering structures. The strict theoretical proof has been given,and it is especially effective to solve probabilistic integration. Statistic error of evaluating failure probability is reduced obviously. Especially in highly non-linear and nonreonvex problems, it is more accurate than other methods. Compared with other variance reduction techniques, this method can obtain a more obvious variance reduction and an increased sampling efficiency. Moreover, without strict limiting condition, it is convenient to use. This method is especially suitable to solve the reliability problem of structural systems with multiple failure modes and highly non-linear safety margin equations.

An analysis of the radar backscatter from oil-covered sea surfaces using moment method and Monte-Carlo simulation: preliminary results

An analysis of the radar backscattering from the ocean surface covered by oil spill is presented using a mi- crowave scattering model and Monte-Carlo simulation. In the analysis, a one-dimensional rough sea sur- face is numerically generated with an ocean waveheight spectrum for a given wind velocity. A two-layered medium is then generated by adding a thin oil layer on the simulated rough sea surface. The electric fields backscattered from the sea surface with two-layered medium are computed with the method of moments （MoM）, and the backscattering coefficients are statistically obtained with N independent samples for each oil-spilled surface using the Monte-Carlo technique for various conditions of surface roughness, oil-layer thickness, frequency, polarization and incidence angle. The numerical simulation results are compared with theoretical models for clean sea surfaces and SAR images of an off-spilled sea surface caused by the Hebei （Hebei province, China） Spirit oil tanker in 2007. Further, conditions for better oil spill extraction are sought by the numerical simulation on the effects of wind speed and oil-layer thickness at different inci- dence angles on the backscattering coefficients.

Comparison of GUF and Monte Carlo methods to evaluate task-specific uncertainty in laser tracker measurement

Measurement uncertainty plays an important role in laser tracking measurement analyses. In the present work, the guides to the expression of uncertainty in measurement(GUM) uncertainty framework(GUF) and its supplement, the Monte Carlo method, were used to estimate the uncertainty of task-specific laser tracker measurements. First, the sources of error in laser tracker measurement were analyzed in detail, including instruments, measuring network fusion, measurement strategies, measurement process factors(such as the operator), measurement environment, and task-specific data processing. Second, the GUM and Monte Carlo methods and their application to laser tracker measurement were presented. Finally, a case study involving the uncertainty estimation of a cylindricity measurement process using the GUF and Monte Carlo methods was illustrated. The expanded uncertainty results(at 95% confidence levels) obtained with the Monte Carlo method are 0.069 mm(least-squares criterion) and 0.062 mm(minimum zone criterion), respectively, while with the GUM uncertainty framework, none but the result of least-squares criterion can be got, which is 0.071 mm. Thus, the GUM uncertainty framework slightly underestimates the overall uncertainty by 10%. The results demonstrate that the two methods have different characteristics in task-specific uncertainty evaluations of laser tracker measurements. The results indicate that the Monte Carlo method is a practical tool for applying the principle of propagation of distributions and does not depend on the assumptions and limitations required by the law of propagation of uncertainties(GUF). These features of the Monte Carlo method reduce the risk of an unreliable measurement of uncertainty estimation, particularly in cases of complicated measurement models, without the need to evaluate partial derivatives. In addition, the impact of sampling strategy and evaluation method on the uncertainty of the measurement results can also be taken into account with Monte Carlo method, which plays a guiding role in measurement planning.

Application of local Monte Carlo method in neutronics calculation of EAST radial neutron camera

The Local Monte Carlo(LMC)method is used to solve the problems of deep penetration and long time in the neutronics calculation of the radial neutron camera(RNC)diagnostic system on the experimental advanced superconducting tokamak(EAST),and the radiation distribution of the RNC and the neutron flux at the detector positions of each channel are obtained.Compared with the results calculated by the global variance reduction method,it is shown that the LMC calculation is reliable within the reasonable error range.The calculation process of LMC is analyzed in detail,and the transport process of radiation particles is simulated in two steps.In the first step,an integrated neutronics model considering the complex window environment and a neutron source model based on EAST plasma shape are used to support the calculation.The particle information on the equivalent surface is analyzed to evaluate the rationality of settings of equivalent surface source and boundary.Based on the characteristic that only a local geometric model is needed in the second step,it is shown that the LMC is an advantageous calculation method for the nuclear shielding design of tokamak diagnostic systems.

Verification of modified sum-peak method in Monte Carlo simulation of full energy peak and sum-peak efficiencies of a HPGe detector

The modified sum-peak method estimates radioactivity by using only the peak and the sum-peak count rates.To verify the modified sum-peak method,the dependence of the full energy peak efficiency on the source-to-detector distance in a high-purity germanium detector system was studied using a Geant4 Monte Carlo simulation.The effect of the deadlayer in the germanium crystal was estimated by reference to experiments on 241 Am and the relative efficiency of the detector.The peak efficiency dependence on the source-to-detector distance was compared between the simulation and measurements.The modified sum-peak method is discussed with respect to these peak efficiencies.