Related papers: Monte Carlo Simulation for Trading Under a L\'evy-…
A driven Monte Carlo dynamics is introduced to study resistivity scaling in XY-type models in the phase representation. The method is used to study the phase transition of the three-dimensional XY spin glass with a Gaussian coupling…
In this paper we present a new approach to control variates for improving computational efficiency of Ensemble Monte Carlo. We present the approach using simulation of paths of a time-dependent nonlinear stochastic equation. The core idea…
Using a cluster-flipping Monte Carlo algorithm combined with a generalization of the histogram reweighting scheme of Ferrenberg and Swendsen, we have studied the equilibrium properties of the thermal random-field Ising model on a cubic…
We introduce a class of Monte Carlo estimators that aim to overcome the rapid growth of variance with dimension often observed for standard estimators by exploiting the target's independence structure. We identify the most basic…
Metropolis Monte Carlo simulation is a powerful tool for studying the equilibrium properties of matter. In complex condensed-phase systems, however, it is difficult to design Monte Carlo moves with high acceptance probabilities that also…
Monte Carlo methods are now a definitively well established methods for studying the transport of charges in semiconductors. A lot of drawbacks are however present about the correct reconstruction of the distribution function, which has to…
We study the problem of dynamically trading multiple futures whose underlying asset price follows a multiscale central tendency Ornstein-Uhlenbeck (MCTOU) model. Under this model, we derive the closed-form no-arbitrage prices for the…
This article reviews the application of advanced Monte Carlo techniques in the context of Multilevel Monte Carlo (MLMC). MLMC is a strategy employed to compute expectations which can be biased in some sense, for instance, by using the…
We have developed a technique to accelerate the acquisition of effectively uncorrelated configurations for off-lattice models of dense polymer melts which makes use of both parallel tempering and large scale Monte Carlo moves. The method is…
Assuming that a L\'evy-Driven Ornstein-Uhlenbeck (or CAR(1)) processes is observed at discrete times $0$, $h$, $2h$,$\cdots$ $[T/h]h$. We introduce a step-by-step methodological approach on how a person would verify the model assumptions.…
For the description of thermally activated dynamics in systems of classical magnetic moments numerical methods are desirable. We consider a simple model for isolated magnetic particles in a uniform field with an oblique angle to the easy…
This study proposes a fast exact simulation scheme for the Ornstein-Uhlenbeck driven stochastic volatility model. With the Karhunen-Lo\`eve expansions, the stochastic volatility path (Ornstein-Uhlenbeck process) is expressed as a sine…
In this work, we extend the hybrid Chernoff tau-leap method to the multilevel Monte Carlo (MLMC) setting. Inspired by the work of Anderson and Higham on the tau-leap MLMC method with uniform time steps, we develop a novel algorithm that is…
A Monte Carlo method for computing the action of a matrix exponential for a certain class of matrices on a vector is proposed. The method is based on generating random paths, which evolve through the indices of the matrix, governed by a…
Monte Carlo (MC) simulations of lattice models are a widely used way to compute thermodynamic properties of substitutional alloys. A limitation to their more widespread use is the difficulty of driving a MC simulation in order to obtain the…
We explain in detail how to estimate mean values and assess statistical errors for arbitrary functions of elementary observables in Monte Carlo simulations. The method is to estimate and sum the relevant autocorrelation functions, which is…
Hamiltonian Monte Carlo and underdamped Langevin Monte Carlo are state-of-the-art methods for taking samples from high-dimensional distributions with a differentiable density function. To generate samples, they numerically integrate…
This paper studies a class of optimal multiple stopping problems driven by L\'evy processes. Our model allows for a negative effective discount rate, which arises in a number of financial applications, including stock loans and real…
In financial engineering, prices of financial products are computed approximately many times each trading day with (slightly) different parameters in each calculation. In many financial models such prices can be approximated by means of…
This paper is concerned with the problem of finding the optimal of extraction policies of an oil field in light of various financial and economical restrictions and constraints. Taking into account the fact that the oil price in worldwide…