In this paper, we deal with the pricing of power options when the dynamics of the risky underling asset follows the double stochastic volatility with double jump model. We prove efficiency of our considered model by fast Fourier transform method, Monte Carlo simulation and numerical results using power call options i.e. Monte Carlo simulation and numerical results show that the fast Fourier tra...

A new numerical method for solving the inverse problem of internal dosimetry is described. The new method uses Markov Chain Monte Carlo and the Metropolis algorithm. Multiple intake amounts, biokinetic types, and times of intake are determined from bioassay data by integrating over the Bayesian posterior distribution. The method appears definitive, but its application requires a large amount of...

The article presents the comparison of the implementation of the inverse problem in geoelectrical methods in two different parallel computational environments. Combination of Monte Carlo method and Multistart algorithm was applied in the inversion process. Parallelization was done by fine grain decomposition. Execution time, speed-up and efficiency received for parallel algorithms in both compu...

We give a brief review of recent developments by the variational Monte Carlo method, in addition to some new results. We discuss t-J-type models: the ordinary t-J model in one and two dimensions, and the one-dimensional supersymmetric t-J model with the long-range coupling of inverse square.

Markov Chain Monte Carlo methods on function spaces are useful, for example to solve inverse problems. Classical methods su er from poor performance on function space, which makes modi cations of them necessary. This essay provides an overview of certain dimension-independent methods. Discussed are applications, examples, theoretical underpinnings, and the mathematical properties behind these m...

With large-scale Monte Carlo simulations, we confirm that for the two-dimensional XY model, there is a logarithmic correction to scaling in the dynamic relaxation starting from a completely disordered state, while only an inverse power law correction in the case of starting from an ordered state. The dynamic exponent z is z = 2.04(1).

We introduce an inverse method for determining simultaneously the real and imaginary refractive indices of microspheres based on integrating sphere measurements of diffuse reflectance and transmittance, and Monte Carlo modelling in conjunction with the Mie theory. The results for polystyrene microspheres suspended in water are presented.