Matematik simulation and monte carlo with applications in finance and mcmc phần 2 pdf

... 16, 20 , 20 , 18, 22 , 23 , 26 , 25 , 29 , 27 , 26 , 30, 27 , 29 , 27 , 25 , 26 , 30, 30, 27 , 28 , 23 , 25 , 21 , 24 , 22 , 23 , 22 , 25 , 22 , 22 , 25 , 25 , 23 , 19, 19, 19, 21 , 23 , 25 , 24 , 26 , 24 , 27 , 24 , 27 , 29 , 29 , 29 , ... (op (2, res[i]), i=11 100); data = 29 , 30, 30, 28 , 25 , 30, 26 , 30, 26 , 23 , 25 , 25 , 28 , 30, 24...

Ngày tải lên: 09/08/2014, 16:21

... 1 29 130 2 31 −1 630360016 0 1 29 2 92 164 2 16 29 3 Odd 1 20 107 145 2 31 −1 950,706,376 0 2 31 −1 7 42, 938 ,28 5 0 2 31 −1 1 ,22 6,874,159 0 2 31 −1 62, 089,911 0 2 31 −1 1,343,714,438 0 U0 1 ... stdnormal:=proc() local r1,r2,r3,E1,E2; do; r1:=evalf(rand()/10ˆ 12) ; r2:=evalf(rand()/10ˆ 12) ; E1:=-ln(r1); E2:=-ln(r2); if E2 > 05 ∗ E1-1 2 then break end if; en...

Ngày tải lên: 09/08/2014, 16:21

... = ⎧ ⎪ ⎪ ⎪ ⎪ ⎪ ⎪ ⎪ ⎪ ⎪ ⎨ ⎪ ⎪ ⎪ ⎪ ⎪ ⎪ ⎪ ⎪ ⎪ ⎩ 1/ √ 2 e √ 2x+1 1/ √ 2 +2 1/ √ 2 +1/ √ 2 = 1 4 e √ 2x+1  x<− √ 2 2   1/ √ 2 +x +1/ √ 2 1/ √ 2 +2 1/ √ 2 +1/ √ 2 = √ 2x +2 4  x≤ √ 2 2   4/ √ 2 −1/ √ 2 e − √ 2x+1 1/ √ 2 +2 1/ √ 2 ... e.s.e.      vrr 1 52 5 12 6 .2 0013 82 0000 92 3 001399 000031 29 1 52 5 12 6.5 000474 0000 32 9 000498...

Ngày tải lên: 09/08/2014, 16:21

...  2 G/X 2 =−1/X 2 , and G/t =0. Using Itô’s lemma, dG = G X dX + G t dt + 1 2 b 2  2 G X 2 dt = dX X −  2 X 2 dt 2X 2 = Xdt +XdB X −  2 dt 2 =   −  2 2  dt +dB Comparing this with Equation (6.3), ... R 2 , W 1 =  −ln R 1  2/ 3  W 2 =  −ln R 2  2/ 3  122 Simulation and finance simulation. Then for a path in the jth stratum,...

Ngày tải lên: 09/08/2014, 16:21

... 23 49 0514 24 04 0 028 2 (171,544)  2 600 7168 0390 72 25 00390 (51,164)  2 660 22 74 0 28 3 23 09 00096 (447,1 420 )  2 720 2 74 0100 2 87 00 029 7 (585,1869) a 10 000 paths. b 25 replications, ... 2. 803064014] [1.5968 724 39, 2. 03 624 3709, 2. 0 429 995 52, 2. 341445360, 2. 513656874, 2. 9879858 32, 3.185 727 007, 3.370 120 4 32] [0.9566889486, 1.35 824...

Ngày tải lên: 09/08/2014, 16:21

... is   − f   x 2 +y 2  / 2  x 2 +y 2 dy =   0 f   x 2 +y 2  /  x 2 +y 2  dy and similarly for Y . (a) Here, f XY  x y  =  1/ 2   exp  −x 2 /2 −y 2 /2  , which is separable in x and y, showing that X and ... number in [0,1) insert R= x/61. Answers: (a)  = 60, (b)  = 30. Simulation and Monte Carlo: With applications in fi...

Ngày tải lên: 09/08/2014, 16:21

... j,x1,x2,y1,y2,d; for j from 1 to n do; x1:= rand()/10^ 12; y1:=rand()/10^ 12; x2:=rand()/10^ 12; y2:=rand()/10^ 12; d [ j ] :=sqrt((x1-x2) ^2+ (y1-y2) ^2) ; end do; seq(d [ j ] ,j=1 n); end proc: 2 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 4 > ... random number generator ‘schrage’. The final execution group sets an (initial) seed and calls ‘expon’ three times. 2 6 6 6 6 6 6 6 4 Simulation...

Ngày tải lên: 09/08/2014, 16:21

... ¼ 1 52. 688 ‘seed’ ¼ 639156 ‘mean’ ¼ 2. 1670967 62, ‘standard error’ ¼ 0.0 025 07078 421 t4: ¼ 21 .531 2 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 4 > estimated_vrr:=( .25 07078 421 e -2/ .9 127 721 506e -2) ^( -2) ; estimated_efficiency:=t3*estimated_vrr/t4; estima ted_vrr:=13 .25 528 056 estimated_efficiency:= 12. 620 55880 2 6 6 6 6 6 6 6 4 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6...

Ngày tải lên: 09/08/2014, 16:21

... 4:mu:=0.15:beta: =2. 5: n: =25 : beta1:=1/beta: bet a2:=evalf(GAMMA(beta1+1)): beta3:=evalf(GAMMA (2/ beta+1)): t0:= [ 3.3,1.4,5.7,3.3,0.1,1 .2, 2.1,5.6,3 .2, 2,6,7.1,3.3, 4.5,5.3, 2. 5,4.4 ,2. 5,4.8,3.5,infinity,infinity,infinit y, infinity,infinity ] : print("_______________________INPUT DATA____________________"); seeda:=87341:seedb:=6 428 7: print("Arriv al ... seed:=rando...

Ngày tải lên: 09/08/2014, 16:21

... ‘is’, 1.9584973 32 1. 0. 3 .2. 1. 1. 0. 4 .2. 5. 0. 4 .2. 5. 0. 4 .2. 2. 0. 1. 2. 0. 2. 1. .1e2 0. .2. 1 .1e2 0. .2. 1 .2e2 0. .6.4 .2 .1e2 0. .2. 1 prior and posterior densities lambda[10] prior and posterior ... values against iteration number 320 0 3000 28 00 26 00 24 00 22 00 0 1000 20 00 3000 4000 5000 0 20 00 22 00 24 00 26 00 28 00 3000 320 0 0.0015 0.001 0.0...

Ngày tải lên: 09/08/2014, 16:21