Matematik simulation and monte carlo with applications in finance and mcmc phần 4 pptx

... xi Glossary xiii 1 Introduction to simulation and Monte Carlo 1 1.1 Evaluating a definite integral 2 1.2 Monte Carlo is integral estimation 4 1.3 An example 5 1 .4 A simulation using Maple 7 1.5 ... However, great care is needed in selecting an appropriate recurrence, to make the sequence appear random. Simulation and Monte Carlo: With applications in finance...

Ngày tải lên: 09/08/2014, 16:21

... on inversion for generating variates from a distribution with density f  x  = e −x on support  0   . Simulation and Monte Carlo: With applications in finance and MCMC J. S. Dagpunar © 2007 ... X k+1 −X 0 mod 4 =  a  X k −X 0 mod 4  +  a −1  X 0 mod 4   mod m. Now, 4  a −1so4 X k+1 −X 0 mod 4. For the base case i =0X i −X 0 mod 4 = 0 , and s...

Ngày tải lên: 09/08/2014, 16:21

... independent standard normal random variables, X 1 and X 2 . The joint density is f X 1 X 2  x 1 x 2  = 1 2 e −  x 2 1 +x 2 2  /2 Simulation and Monte Carlo: With applications in finance and MCMC ... different in such cases (the density is unbounded as x → 0 and is decreasing in x). 74 Generation of variates from standard distributions 4. 10 Binomial distri...

Ngày tải lên: 09/08/2014, 16:21

... method=’Cholesky’); [1] [0.6999999999999999 54 , 0.7 141 42 842 8 542 849 76 , 0. , 0.] [0.500000000000000000 , 0.35007002100700 246 3 , 0.7921180 343 8133 943 1 , 0.] [0.299999999999999988 , -0.0 140 02800 840 2800531 , 0.32179795 146 741 9185 , 0.8979 142 49803398512] and ... call asiannaive a asianimppoststrat b K  c 1   Var   c 1   c 2   Var   c 2  v.r.r. c 035522 149 0...

Ngày tải lên: 09/08/2014, 16:21

... (1978), Law and Kelton (2000), and Pidd (1998). Simulation and Monte Carlo: With applications in finance and MCMC J. S. Dagpunar © 2007 John Wiley & Sons, Ltd 1 54 Discrete event simulation (b) ... 35 m = 70 [0 .46 83920028, 0.85 844 69999, 1.3 248 48195, 1.5 644 63956, 2. 342 103589, 2.7536 047 57, 3.161013255, 3.355203918] [0.310 542 5825, 0.6851910 142 , 1....

Ngày tải lên: 09/08/2014, 16:21

... output of every X n . To obtain a random number in [0,1) insert R= x/61. Answers: (a)  = 60, (b)  = 30. Simulation and Monte Carlo: With applications in finance and MCMC J. S. Dagpunar © 2007 ... marginal expectations of  and ). These are   bayes = 1131 and   bayes = 247 0. 8 .4 Single component Metropolis–Hastings and Gibbs sampling Single component Metr...

Ngày tải lên: 09/08/2014, 16:21

... 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 and Monte Carlo: With applications in finance and ... randomize(135);n:=1000; 135 n:=1000 2 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 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 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

... seed:=randomize( 341 ): print("seed"=seed); res1:=theta1_2(1000): 2 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 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 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

... 2.5 ,4. 4,2.5 ,4. 8,3.5,infinity,infinity,infinit y, infinity,infinity ] : print("_______________________INPUT DATA____________________"); seeda:=87 341 :seedb:= 642 87: print("Arriv al and serv ... transform. " 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 4 Simulation and Monte Carlo: With applications in finance an...

Ngày tải lên: 09/08/2014, 16:21

... 45 5 47 2. Gilks, W.R., Richardson, S., Spiegelhalter, D.J. (1996) Markov Chain Monte Carlo in Practice. London: Chapman and Hall. Glasserman, P. (20 04) Monte Carlo methods in Financial Engineering. ... Finance, 2: 117–152. Hammersley, J.M. and Handscombe, D.C. (19 64) Monte Carlo Methods. London: Methuen. Hastings, W.K. (1970) Monte Carlo sampling methods using Mar...

Ngày tải lên: 09/08/2014, 16:21