Remarks on a financial inverse problem by means of Monte Carlo Methods

Monte Carlo methods for pricing financial options

Pricing financial options is amongst the most important and challenging problems in the modern financial industry. Except in the simplest cases, the prices of options do not have a simple closed form solution and efficient computational methods are needed to determine them. Monte Carlo methods have increasingly become a popular computational tool to price complex financial options, especially w...

Monte Carlo Methods in Geophysical Inverse Problems

[1] Monte Carlo inversion techniques were first used by Earth scientists more than 30 years ago. Since that time they have been applied to a wide range of problems, from the inversion of free oscillation data for whole Earth seismic structure to studies at the meter-scale lengths encountered in exploration seismology. This paper traces the development and application of Monte Carlo methods for ...

Inverse Kinematics Using Sequential Monte Carlo Methods

In this paper we propose an original approach to solve the Inverse Kinematics problem. Our framework is based on Sequential Monte Carlo Methods and has the advantage to avoid the classical pitfalls of numerical inversion methods since only direct calculations are required. The resulting algorithm accepts arbitrary constraints and exhibits linear complexity with respect to the number of degrees ...

Monte Carlo Methods and the Pert Problem

Investigating Monte-Carlo Methods on the Weak Schur Problem

Nested Monte-Carlo Search (NMC) and Nested Rollout Policy Adaptation (NRPA) are Monte-Carlo tree search algorithms that have proved their efficiency at solving one-player game problems, such as morpion solitaire or sudoku 16x16, showing that these heuristics could potentially be applied to constraint problems. In the field of Ramsey theory, the weak Schur number WS(k) is the largest integer n f...