scholarly journals Combining system dynamics and discrete event simulations: Overview of hybrid simulation models

2012 ◽  
Vol 10 (3) ◽  
pp. 135-142 ◽  
Author(s):  
Jovanovski Bojan ◽  
Minovski Robert ◽  
Voessner Siegfried ◽  
Lichtenegger Gerald
2021 ◽  
Vol 16 (2) ◽  
pp. 75-93
Author(s):  
Pier Giuseppe Giribone ◽  
◽  
Roberto Revetria ◽  
◽  

The study proposes an innovative application of Discrete Event Simulations (DES) and System Dynamics (SD) theory to the pricing of a certain kind of certificates very popular among private investors and, more generally, in the context of wealth management. The paper shows how numerical simulation software mainly used in traditional engineering, such as industrial and mechanical engineering, can be successfully adapted to the risk analysis of structured financial products. The article can be divided into three macro-sections: in the first part a synthetic overview of the most widespread option pricing models in the quantitative finance branch is given to the readers together with the fundamental technical-instrumental background of the implemented DES and SD simulator. After dealing with some of the most popular models adopted for Equity and Equity index options, which are the most common underlying assets for the certificates structuring, we move, in the second part, to describe how the mathematical models can be integrated into a general simulation environment able to provide both DES and SD extensively used in the engineering field. The core stochastic differential equation (SDE) will therefore be translated, together with all its input parameters, into a visual block model which allows an immediate quantitative analysis of how market parameters and the other model variables can change over time. The possibility for the structurer to observe how the variables evolve day-by-day gives a strong sensitivity to evaluate how the price and the associated risk measures can be directly affected. The third part of the study compares the results obtained from the simulator designed by the authors with the more traditional pricing approaches, which consist in programming Matlab® codes for the numerical integration of the core stochastic dynamics through a Euler-Maruyama scheme. The comparison includes a price check using the Bloomberg® DLIB pricing module and a check directly against the valuation provided by the counterparty. In this section, real market cases will therefore be examined with a complete quantitative analysis of two of the most widespread categories of certificates in wealth management: Multi-asset Barrier Reverse Convertible with Issuer Callability and Multi-asset Express Certificate with conditional memory fixed coupon.


2008 ◽  
Vol 9 (3-4) ◽  
pp. 277-293 ◽  
Author(s):  
Navodit Misra ◽  
Daniel Lees ◽  
Tiequan Zhang ◽  
Russell Schwartz

As computational and mathematical studies become increasingly central to studies of complicated reaction systems, it will become ever more important to identify the assumptions our models must make and determine when those assumptions are valid. Here, we examine that question with respect to viral capsid assembly by studying the ‘pathway complexity’ of model capsid assembly systems, which we informally define as the number of reaction pathways and intermediates one must consider to accurately describe a given system. We use two model types for this study: ordinary differential equation models, which allow us to precisely and deterministically compare the accuracy of capsid models under different degrees of simplification, and stochastic discrete event simulations, which allow us to sample use of reaction intermediates across a wide parameter space allowing for an extremely large number of possible reaction pathways. The models provide complementary information in support of a common conclusion that the ability of simple pathway models to adequately explain capsid assembly kinetics varies considerably across the space of biologically meaningful assembly parameters. These studies provide grounds for caution regarding our ability to reliably represent real systems with simple models and to extrapolate results from one set of assembly conditions to another. In addition, the analysis tools developed for this study are likely to have broader use in the analysis and efficient simulation of large reaction systems.


1999 ◽  
Vol 22 (2) ◽  
pp. 231-239
Author(s):  
Chun‐Lien Su ◽  
Chan‐Nan Lu ◽  
Yuh‐Tzong Lin ◽  
King‐Chun Tu

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