PARALLELIZATION OF THE ISING SIMULATION

1993 ◽  
Vol 04 (06) ◽  
pp. 1131-1135 ◽  
Author(s):  
NOBUYASU ITO
Keyword(s):  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Simulation Algorithm ◽  
Efficient Simulation ◽  
Relaxation Study ◽  
Single Processor ◽  
Non Equilibrium

The parallelization aspect of the Ising Monte Carlo simulation is discussed. It is shown that most of the theoretically interesting simulations now are suitable for the trivial parallelization, that is, the Ising simulation is ideally parallelizable. Furthermore, presently most efficient simulation algorithm for single processor is also a kind of trivial paralellization. Results on the non-equilibrium critical relaxation study is included as an example.

Non-equilibrium Monte Carlo simulation of decaying Navier–Stokes turbulence

1999 ◽  
Vol 256 (2-3) ◽  
pp. 147-152 ◽  
Author(s):  
Peter Biechele ◽  
Heinz-Peter Breuer ◽  
Francesco Petruccione
Keyword(s):  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Navier Stokes ◽  
Non Equilibrium

Finite element based Monte Carlo simulation of options on Lévy driven assets

2018 ◽  
Vol 05 (01) ◽  
pp. 1850013 ◽  
Author(s):  
Patrik Karlsson
Keyword(s):  
Differential Equation ◽  
Monte Carlo Simulation ◽  
Finite Element ◽  
Monte Carlo ◽  
Monte Carlo Simulations ◽  
Transition Matrix ◽  
Simulation Algorithm ◽  
Option Prices ◽  
European Options ◽  
Inverse Transition

This paper extends the simulation algorithm by Andreasen and Huge (2011) to the simulation of option prices and deltas on Lévy driven assets where the simulation is performed relying on the inverse transition matrix of the discretized partial integro differential equation (PIDE). We demonstrate how one can get accurate prices and deltas of European options on VG and CGMY via Monte Carlo simulations.

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