Matematik simulation and monte carlo with applications in finance and mcmc phần 6 doc

... 2 4 =1. The following sequence for  R i  is obtained: 3 16  14 16  1 16  12 16  15 16  10 16  13 16  8 16  11 16  6 16  9 16  4 16  7 16  2 16  5 16  0 16  3 16  (2.2) The ... However, great care is needed in selecting an appropriate recurrence, to make the sequence appear random. Simulation and Monte Carlo: With applic...

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 ... variates: > randomize(4 765 ); for j from 1 to 5 do; stdnormal(); end do; 4 765 .4235427382 .18 569 83287 .66 1 163 4273 - 67 39401 269 -989738 069 1 How good is this...

Ngày tải lên: 09/08/2014, 16:21

... 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 J. S. Dagpunar © 2007 John Wiley & Sons, Ltd Problems 75 A procedure, ‘negbinom’, appears in Appendix 4.7. An extremely ... integration is 0. 961 8 (e1 in the Maple worksheet), so the antithetic design has improved the estimate of both the prim...

Ngày tải lên: 09/08/2014, 16:21

... Wiener process, will be described. Simulation and Monte Carlo: With applications in finance and MCMC J. S. Dagpunar © 2007 John Wiley & Sons, Ltd 112 Simulation and finance Let VX  t  t be ... provides an introduction to the use of Monte Carlo in financial applications. For more details on the financial aspects there are many books that can be consulted,...

Ngày tải lên: 09/08/2014, 16:21

... 1.0255 061 52, 1.0 363 01499, 1.247404803, 1.370810129, 2.3 768 11957, 2.3773 861 93, 2. 564 390192, 3.4 363 397 76] [0.88 163 30302, 0.999518 769 9, 1.7330 060 37, 1.9 265 57959, 1.9 266 42493, 2.803 064 014] [1.5 968 72439, ... (1978), Law and Kelton (2000), and Pidd (1998). Simulation and Monte Carlo: With applications in finance and MCMC J. S. Dagpunar © 2007 John...

Ngày tải lên: 09/08/2014, 16:21

... 2987 469 3185 1711 8277 3 56 822 2303 317 1 066 1181 923 77 56 265 6 879 1232 69 7 3 368 4 86 6 767 484 438 1 860 113 60 62 590 163 3 2425 367 712 953 1989 768 60 0 3041 1814 141 10511 77 96 1 462 Single component ... 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. Dagpun...

Ngày tải lên: 09/08/2014, 16:21

... 0.25, 2 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 6 4 2 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

... price =100"),AXESLABELS("t","X(t)"),AXESSTYLE(NORMAL)); 2 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 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

... 2.531110333 2 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 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...

Ngày tải lên: 09/08/2014, 16:21

... t1:=time(); replic:=100; seed: =63 18540; iter:=200;alpha:=3;a:=9;burn:=100; 2 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 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