670 search results - page 48 / 134 » Introduction to Monte Carlo simulation |
WSC
2004
14 years 11 months ago
2004
Credit risk analysis for portfolios containing CDO tranches is a challenging task for risk managers. We propose here a basis function approach for CDO tranche valuation and portfo...
125
click to vote
MMAS
2011
Springer
14 years 4 months ago
2011
Springer
In this paper we investigate a heterogeneous multiscale method (HMM) for interface tracking and apply the technique to the simulation of epitaxial growth. HMM relies on an efficien...
WEA
2007
Springer
15 years 3 months ago
2007
Springer
Abstract. A major task in evolutionary biology is to determine the ancestral relationships among the known species, a process generally referred as phylogenetic reconstruction. In ...
139
click to vote
SAC
2011
ACM
14 years 18 days ago
2011
ACM
Slice sampling provides an easily implemented method for constructing a Markov chain Monte Carlo (MCMC) algorithm. However, slice sampling has two major drawbacks: (i) it requires...
IOR
2006
14 years 9 months ago
2006
The stochastic differential equations for affine jump diffusion models do not yield exact solutions that can be directly simulated. Discretization methods can be used for simulati...