On average dimensions of particle transport estimators

2018 ◽  
Vol 24 (2) ◽  
pp. 147-151 ◽  
Author(s):  
Ilya M. Sobol ◽  
Boris V. Shukhman

Abstract We considered average dimensions of the weighted Monte Carlo algorithm for a particle transport problem with multi-scattering setting and estimated the probability of particles penetration through a layer. The average dimension {\hat{d}} of the algorithm turned out to be small so that quasi-Monte Carlo estimates of the probability converge much faster than the Monte Carlo estimates. We justified the reasons to expect that the convergence of quasi-Monte Carlo estimates continue to be faster as the thickness of the layer increases. Here we calculated {\hat{d}} without the use of the ANOVA expansion.

2006 ◽  
Vol 09 (06) ◽  
pp. 843-867 ◽  
Author(s):  
FRED ESPEN BENTH ◽  
MARTIN GROTH ◽  
PAUL C. KETTLER

We propose a quasi-Monte Carlo (qMC) algorithm to simulate variates from the normal inverse Gaussian (NIG) distribution. The algorithm is based on a Monte Carlo technique found in Rydberg [13], and is based on sampling three independent uniform variables. We apply the algorithm to three problems appearing in finance. First, we consider the valuation of plain vanilla call options and Asian options. The next application considers the problem of deriving implied parameters for the underlying asset dynamics based on observed option prices. We employ our proposed algorithm together with the Newton Method, and show how we can find the scale parameter of the NIG-distribution of the logreturns in case of a call or an Asian option. We also provide an extensive error analysis for this method. Finally we study the calculation of Value-at-Risk for a portfolio of nonlinear products where the returns are modeled by NIG random variables.


2017 ◽  
Vol 39 (5) ◽  
pp. S851-S872 ◽  
Author(s):  
Pieterjan Robbe ◽  
Dirk Nuyens ◽  
Stefan Vandewalle

1995 ◽  
Vol 32 (10) ◽  
pp. 953-964 ◽  
Author(s):  
Kenji HIGUCHI ◽  
Kiyoshi ASAI ◽  
Masayuki AKIMOTO

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