Valuation of R&;D Sequential Exchange Options Using Monte Carlo Approach

This article describes a methodology for evaluating R&D investment projects using Monte Carlo method. R&D projects generally involve multiple phases with or without overlapping. R&D investments are made often in a phased manner, with the commencement of subsequent phase being dependent on the successful completion of the preceding phase. This is known as sequential investment. Moreover, each stage creates an opportunity (option) for subsequent investment. Therefore, R&D projects can be considered as ‘Compound Options’ in which investments present uncertainty both in the gross project value and in their costs. It is possible to use exchange options to value the R&D investment opportunities. In this paper, we propose to evaluate the European and American Real Compound exchange options through Monte Carlo simulations. We also provide a set of numerical experiments to provide evidence for the accuracy of the proposed methodology.      

应用G语言平台LabVIEW进行Monte Carlo模拟实验

本文讨论了应用G语言平台labview进行Monte Carlo模拟实验,并以敌我双方的射击实验为实例进行详细说明。     

蒙特卡罗模拟在《计量经济学》教学中的应用

在大学本科《计量经济学》教学过程中,运用蒙特卡罗模拟实验可以帮助学生轻易获得对相关知识的直接体验和理解,而不需要高级的数学知识。以存在违背经典假定的序列相关情形时为例,运用Stata软件进行编程,说明蒙特卡罗模拟实验在《计量经济学》教学中的应用。     

蒙特卡罗粒子滤波算法应用研究

随着这些年计算机硬件水平的发展,计算速度的提高,源自序列蒙特卡罗方法的蒙特卡罗粒子滤波方法的应用研究又重新活跃起来.本文的这种蒙特卡罗粒子滤波算法是利用序列重要性采样的概念,用一系列离散的带权重随机样本近似相应的概率密度函数.由于粒子滤波方法没有像广义卡尔曼滤波方法那样对非线性系统做线性化的近似,所以在非线性状态估计方面比广义卡尔曼滤波更有优势.在很多方面的应用已经逐渐有替代广义卡尔曼滤波的趋势.     

Time Changes, Laplace Transforms and Path-Dependent Options

Path-dependent options have become increasingly popular over the last few years, in particular in FX markets, because of the greater precision with which they allow investors to choose or avoid exposure to well-defined sources of risk. The goal of the paper is to exhibit the power of stochastic time changes and Laplace transform techniques in the evaluation and hedging of path-dependent options in the Black–Scholes–Merton setting. We illustrate these properties in the specific case of Asian options and continuously (de-) activating double-barrier options and show that in both cases, the pricing and, just as important, the hedging results are more accurate than the ones obtained through Monte Carlo simulations.     

蒙特卡罗粒子滤波算法应用研究

随着这些年计算机硬件水平的发展,计算速度的提高,源自序列蒙特卡罗方法的蒙特卡罗粒子滤波方法的应用研究又重新活跃起来。本文的这种蒙特卡罗粒子滤波算法是利用序列重要性采样的概念,用一系列离散的带权重随机样本近似相应的概率密度函数。由于粒子滤波方法没有像广义卡尔曼滤波方法那样对非线性系统做线性化的近似,所以在非线性状态估计方面比广义卡尔曼滤波更有优势。在很多方面的应用已经逐渐有替代广义卡尔曼滤波的趋势。     

FPGA acceleration of a quantum Monte Carlo application

Quantum Monte Carlo methods enable us to determine the ground-state properties of atomic or molecular clusters. Here, we present a reconfigurable computing architecture using Field Programmable Gate Arrays (FPGAs) to accelerate two computationally intensive kernels of a Quantum Monte Carlo (QMC) application applied to N-body systems. We focus on two key kernels of the QMC application: acceleration of potential energy and wave function calculations. We compare the performance of our application on two reconfigurable platforms. Firstly, we use a dual-processor 2.4 GHz Intel Xeon augmented with two reconfigurable development boards consisting of Xilinx Virtex-II Pro FPGAs. Using this platform, we achieve a speedup of 3× over a software-only implementation. Following this, the chemistry application is ported to the Cray XD1 supercomputer equipped with Xilinx Virtex-II Pro and Virtex-4 FPGAs. The hardware-accelerated application on one node of the high performance system equipped with a single Virtex-4 FPGA yields a speedup of approximately 25× over the serial reference code running on one node of the dual-processor dual-core 2.2 GHz AMD Opteron. This speedup is mainly attributed to the use of pipelining, the use of fixed-point arithmetic for all calculations and the fine-grained parallelism using FPGAs. We can further enhance the performance by operating multiple instances of our design in parallel.     

蒙特卡罗与准蒙特卡罗相互融合的整体光照计算

蒙特卡罗方法具备普适性、鲁棒性以及与问题复杂度无关性等优点,非常适于十分难解的整体光照计算问题,但缺点是生成图像随机噪声大．准蒙特卡罗方法计算连续被积函数低维积分的收敛速度快于蒙特卡罗方法,但不适于直接求解复杂的整体光照计算问题．文中研究蒙特卡罗整体光照计算最根本环节,即随机游动的抽样模式,提出融合蒙特卡罗与准蒙特卡罗的两种通用的新型整体光照计算策略．两种新型策略可以应用于所有基于蒙特卡罗的整体光照算法,不仅能够降低生成图像的随机噪声,而且实现简单、不增加计算和存储开销．     

蒙特卡罗法用于多指标试验设计的优化计算

以一优化的问题为例,探讨应用蒙特卡罗法去计算多指标试验设计的优化问题。展示及解释了蒙特卡罗法的BASICI程序,比较蒙特卡罗法与网格法的优化结果,原来两种结果几乎相同。但实践表明,蒙特卡罗法既可用于多指标试验设计的优化计算,又方便灵活地实现多指标优化的目的。     

Parallelization of a Monte Carlo particle transport simulation code

We have developed a high performance version of the Monte Carlo particle transport simulation code MC4. The original application code, developed in Visual Basic for Applications (VBA) for Microsoft Excel, was first rewritten in the C programming language for improving code portability. Several pseudo-random number generators have been also integrated and studied. The new MC4 version was then parallelized for shared and distributed-memory multiprocessor systems using the Message Passing Interface. Two parallel pseudo-random number generator libraries (SPRNG and DCMT) have been seamlessly integrated. The performance speedup of parallel MC4 has been studied on a variety of parallel computing architectures including an Intel Xeon server with 4 dual-core processors, a Sun cluster consisting of 16 nodes of 2 dual-core AMD Opteron processors and a 200 dual-processor HP cluster. For large problem size, which is limited only by the physical memory of the multiprocessor server, the speedup results are almost linear on all systems. We have validated the parallel implementation against the serial VBA and C implementations using the same random number generator. Our experimental results on the transport and energy loss of electrons in a water medium show that the serial and parallel codes are equivalent in accuracy. The present improvements allow for studying of higher particle energies with the use of more accurate physical models, and improve statistics as more particles tracks can be simulated in low response time.     

大分子蠕动的Monte Carlo模型及计算方法

高分子链分子量巨大而且分散,结构复杂多变,存在大量不确定的问题,给理论和实验研究造成许多困难。本文建立了一种基于高分子Monte Carlo模拟算法,分析分子蠕动阻力的模型。用链动力学法构造8配位点键长涨落格子链多链体系,通过高分子链的运动使任意的初始有序态演化到平衡态,可同时获得体系的动态和静态性质。将重要性抽样法和高分子多链体系的链动力学构造法,在键长涨落模型中结合起来,形成多链体系的链动力学求解法。引入空格扩散算法,用以研究高浓度态的高分子体系。统计平衡后元胞内高分子多链体系在链动力学算法作用下蠕动失败机率,对高聚物多链体系内分子蠕动的困难程度的定量模拟,能更直观分析高分子玻璃化转变的现象。     

蒙特卡罗中子-光子输运程序MCNP的并行化

１．引 言 随着并行计算机的问世,并行算法和并行系统也不断发展,如 ＰＶＭ（Ｐａｒａｌｌｅｌ ＶｉｒｔｕｒａｌＭａｃｈｉｎｅ）,ＳＭＰ（Ｓｈａｒａｅ Ｍｅｍｏｒｙ Ｐｒｏｃｅｓｓｏｒｓ）;ＭＰＩ（Ｍｅｓｓａｇｅ Ｐａｓｓｉｎｇ Ｉｎｔｅｒｆａｃｅ）和 ＨＰＦ（Ｈｉｇｈ Ｐｏｗｅｒ Ｆｏｒｔｒａｎ）等,这些并行系统原理基本相同,差异主要是并行指令和数据传递方式．在这些并行系统中,ＰＶＭ和 ＭＰＩ系统具有通用性强、系统规模小、使用方便和可移植性强的优点,且安装、测试、编程与实现相对要容易一些,它是当前国际卜公认…     

随机数发生器对蒙特卡罗算法求解定积分的影响

在运用蒙特卡罗算法求解定积分的解时 ,程序中的核心问题是随机数发生器的选用 ,选用不同的随机数发生器对定积分的计算结果有着不同的计算精度。通过选用三种不同的随机数发生器 ,对蒙特卡罗算法求解定积分进行此较实验 ,选出一个计算精度较高的随机数发生器 ,并对其所需参数进行对比选择。     

Development and Analysis of a Multi-Wavelength Near-Infrared Sensor for Monitoring Skin Hydration and Validation Using Monte Carlo Simulation

The monitoring of an individual's hydration levels is a vital measurement required for the maintenance of a healthy skin barrier function as well as the avoidance of dehydration.The current commercial devices for this measure are typically based on electrical methodologies,such as capacitance,which allows for the extraction of skin hydration using the ionic balance deviations in the stratum corneum.The use of optical-based methods such as near-infrared spectroscopy(NIRS)has been recently explored for the measurement of skin hydration.Optical approaches have the ability to penetrate deeper into the skin layers and provide detailed information on the optical properties of present water bands.This paper presents the development of a multi-wavelength optical sensor and its capability of assessing skin hydration in an in vitro experiment utilizing porcine skin.Regression analysis of the results showed to be in line with standard reference measurements(R2CV=0.952257),validating the accuracy of the developed sensor in measuring dermal water content.A Monte Carlo model of the human skin was also developed and simulated to predict the optical sensor's performance at variable water concentrations.This model serves as a tool for validating the sensor measurement accuracy.The output from this model gave a standard expectation of the device,which agreed with trends seen in the in vitro work.This research strongly suggests that non-invasive(wearable)NIR based sensors could be used for the comprehensive assessment of skin hydration.     

A proposal for a standard interface between Monte Carlo tools and one-loop programs

Many highly developed Monte Carlo tools for the evaluation of cross sections based on tree matrix elements exist and are used by experimental collaborations in high energy physics. As the evaluation of one-loop matrix elements has recently been undergoing enormous progress, the combination of one-loop matrix elements with existing Monte Carlo tools is on the horizon. This would lead to phenomenological predictions at the next-to-leading order level. This note summarises the discussion of the next-to-leading order multi-leg (NLM) working group on this issue which has been taking place during the workshop on Physics at TeV Colliders at Les Houches, France, in June 2009. The result is a proposal for a standard interface between Monte Carlo tools and one-loop matrix element programs.Dedicated to the memory of, and in tribute to, Thomas Binoth, who led the effort to develop this proposal for Les Houches 2009. Thomas led the discussions, set up the subgroups, collected the contributions, and wrote and edited this paper. He made a promise that the paper would be on the arXiv the first week of January, and we are faithfully fulfilling his promise. In his honour, we would like to call this the Binoth Les Houches Accord.     

Monte Carlo simulations of a single polystyrene chain in spherical confinement

We report on Monte Carlo simulations of a single coarse-grained polystyrene chain in spherical confinement. To this end we employ a variant of the freely rotating chain model, the parameters of which are chosen to mimic polystyrene in good solvent conditions. Entanglements are analyzed as a function of molecular weight and capsid radius to provide an educated guess about the structure of a single polystyrene chain in a miniemulsion droplet. We also show that significant knotting occurs first when the radius of the confining sphere falls below the chain?s radius of gyration.     

运用CrystalBall＆ MS Project实现项目进度的蒙特卡洛风险分析

通过运用CrystalBall和MSProject软件进行蒙特卡洛模拟,对项目进度计划风险分析及实际应用进行研究和探讨,在项目管理实践中将起到非常大的作用。     

Analysis of the SSAP Method for the Numerical Valuation of High-Dimensional Multivariate American Securities

We consider a new numerical method developed by Barraquand and Martineau for the pricing of American securities where the payoff depends on several sources of uncertainty. This method utilizes Monte Carlo simulation and is referred to as Stratified State Aggregation along the Payoff (SSAP). Since there are no other methods that so effectively reduce the dimensionality of high-dimensional problems, the SSAP method has generated significant interest. Numerical results are presented showing that, if a sufficiently large number of time steps are used, in the cases of the two-dimensional maximum and minimum options, SSAP typically prices to within 6 cents of the true price. However, we show that if the security depends on two or more sources of uncertainty, then the price obtained by the SSAP method will not, in general, converge to the correct theoretical price, due in large part to incorrect exercise decisions being made. We analyze the exercise regions in the cases of the two-dimensional maximum and minimum options and show how SSAP makes incorrect exercise decisions. Suggestions for improving SSAP pricing accuracy by choosing a partition other than the payoff are discussed. Received October 3, 1997; revised February 10, 1998.