Stochastic volatility modelling in portfolio selection via sequential Monte Carlo simulation

2021 ◽  
Vol 2 (3) ◽  
pp. 249
Author(s):  
Pedro Henrique Melo Albuquerque ◽  
Yaohao Peng ◽  
Igor Ferreira Do Nascimento
Keyword(s):  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Stochastic Volatility ◽  
Portfolio Selection ◽  
Sequential Monte Carlo

Reliability Modeling of Wind Farm Considering the Outages of Connection Cables

2013 ◽  
Vol 291-294 ◽  
pp. 461-466
Author(s):  
Guo Bing Qiu ◽  
Wen Xia Liu ◽  
Jian Hua Zhang
Keyword(s):  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Power Output ◽  
Complex Terrain ◽  
Wind Farm ◽  
Sequential Monte Carlo ◽  
Reliability Model ◽  
Wake Effect ◽  
Reliability Modeling ◽  
Wake Model

Considering the randomness of wind speed and wind direction, the partial wake effect between wind turbines (WTs) in complex terrain was analyzed and a multiple wake model in complex terrain was established. Taking the power output characteristic of WT into consideration, a wind farm reliability model which considered the outages of connection cables was presented. The model is implemented in MATLAB using sequential Monte Carlo simulation and the results show that this model corrects the power output of wind farm, while improving the accuracy of wind farm reliability model.

Variance reduction for Monte Carlo simulation in a stochastic volatility environment

2002 ◽  
Vol 2 (1) ◽  
pp. 24-30 ◽  
Author(s):  
Jean-Pierre Fouque ◽  
Tracey Andrew Tullie
Keyword(s):  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Stochastic Volatility ◽  
Variance Reduction

Composite system well-being evaluation based on non-sequential Monte Carlo simulation

2010 ◽  
Vol 80 (1) ◽  
pp. 37-45 ◽  
Author(s):  
Tiago S. Amaral ◽  
Carmen L.T. Borges ◽  
Andrea M. Rei
Keyword(s):  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Sequential Monte Carlo ◽  
Composite System ◽  
Well Being
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