Monte Carlo Methods In Finance
The solution of the nearest correlation matrix applies the hypershpere or spectral decomposition methods as outlined in Monte Carlo methods in Finance by Peter Jackel, Chapter 6.Use CorrelationExample.m that applies a simple example for the two cases.
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Monte Carlo methods have long been used in computational finance to solve problems where analytical solutions are not feasible or are difficult to formulate. However, these methods are computationally intensive making it challenging to implement and adopt. In the last decade, advances in...
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Monte Carlo eXtreme, otherwise kown as MCX, is a Monte Carlo simulation tool for time-resolved photon transport in 3D turbid media.
It uses Graphics Processing Units (GPU) based massively parallel computing techniques and is extremely fast compared to the traditional single-threaded CPU-based...
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An example to price an Arithmetic Average fixed strike Call option in the Black-Scholes framework using Monte Carlo Control Variate
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Numerical integration with Monte Carlo method (on FPGA chip).Requirements:- Matlab/Simulink- Diamond IDE (3L)- FPGA Xilinx VIrtex II (SMT8036E) http://www.sundance.com/web/files/static.asp?pagename=uni_offer_1)- Visual Studio (Optional)- Xilinx System Generator (Recommended)- Xilinx ISE...
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Applying the inverse transform method to the normal distribution entails evaluation of the inverse normal. This is the Beasley-Springer-Moro algorithm for approximating the inverse normal.Input: u, a sacalar or matrix with elements between 0 and 1Output: x, an approximation for the inverse normal...
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Simulation model to accompany the article, "Monte-Carlo Simulation in MATLAB Using Copulas" in the November 2003 issue of MATLAB News&Notes. The function METAPOP runs the metapopulation simulation model described in the article.MATLABdlT«'s Statistics Toolboxd-OC?D? includes a variety of...
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clupan is a tool for performing the cluster expansion and several Monte Carlo simulations in multicomponent alloys. clupan can be used for predicting ground state structures and evaluating phase diagrams on the basis of results of DFT calculations.
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This set of files show some of the principles of Monte Carlo simulations, applied in the financial industry. this is the content of the web seminar called "Simulations de Monte Carlo en MATLAB".The slides are in French and a copy in English is also availableYou will find here :* how to code your...
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Statscorer is a decision support software adding Monte Carlo simulation capabilities to your Excel spreadsheets, thus showing possible outcomes from models related to various areas (finance, risk management, engineering, ...). Statscorer has been designed to be as easy as possible and to offer a...
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Full featured FREEWARE application. MCM ALchimia is the most simple, fast, friendly and multilingual Software to perform Monte Carlo simulations, focused mainly on the estimation of measurement uncertainties. This standalone application arrives to fill a gap in regard to the simulation with...
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A Monte Carlo simulation of Major League Baseball(TM), used to find the best strategies in a baseball game. The effect of different batting orders and the addition of one super-star can be tested and archived in retrosheet format.
Platforms: Windows, Mac, Linux
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MCX is a Monte Carlo simulation software for static or time-resolved photon transport in 3D media. It uses GPU-based massively parallel computing techniques and is extremely fast compared to the traditional single-threaded CPU-based simulations.
Platforms: Windows, Mac, Linux
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As a coursework, we are required to price a double barriers knock-in binary put option. We used finite difference method in 24 ways and multinomial lattice in 12 ways. We also implemented analytic and Markov chain method. At the end, we compared these four methods and Monte Carlo method.In this...
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The Monte Carlo Pi program program uses a Monte Carlo routine to approximate pi by approximating the area of a unit circle. The program is distributed as a ready-to-run (compiled) Java archive. Double-clicking the ejs_stp_MonteCarloPi.jar file will run the program if Java is installed on your...
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The model functions as a microsimulation (Monte Carlo) model with a monthly cycle, in which individual women are simulated and their histories remembered (and used to affect future probabilities in the model). Several variables in the model also rely on discrete event simulation, which allows for...
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Overiew - Q-Pro 2.0 combines a simple math scripting language with the Monte-Carlo method to produce a powerful analysis tool. It is designed for engineers, scientists and academics who want to work with the Monte-Carlo method without the overhead and complexity of a programming language....
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To calculate an area S(A) of a figure A, bounded by a Jordan curve (which in our case is constructed by a cubic splineapproximation) the Monte Carlo method is applied
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This practical function provides a tool for quickly including a random process within a Monte Carlo Simulation framework.The main input argument, is a string containing commands in Matlab syntax. Each execution of such string is an instance of a random process. The function expressionMCSsamples...
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This simple code shows how the Monte Carlo Chronological method works. This example is intended to be for educational purpose, generating an artificial history data vectors of a single component modeled in a two state Markov chain model and exponentially distributed. You just need to enter the...
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