This paper will try to look into the two important methods for the calculation of Value at Risk (VaR) for non linear portfolio using Monte Carlo Simulation method. The two techniques Closed form VaR and Multilevel Monte Carlo VaR for valuing the derivative portfolio are explained in details. In case of multilevel Monte Carlo simulation, it has been found that with decrease in the number of inne...

Algorithms developed to enable the use of atornistic molecular simulation methods with parallel computers are reviewed. Methods appropriate for bonded as well as non-bonded (and charged) interactions are included. While strategies for obtaining parallel molecukir simulations have been developed for the full variety of atomistic simulation methods, molecular dynamics and Monte Carlo have receive...

Lattice rules are a quasi-Monte Carlo method, an alternative to the Monte Carlo method for multidimensional numerical integration. The measures of performance that we estimate by simulation can be seen as the values of integrals in large dimensions. Therefore, instead of the usual Monte Carlo method, one can use lattice rules in simulation. In this paper, we compare these rules to the Monte Car...

Objective: Brachytherapy sources are widely used for the treatment of cancer. The report of Task Group No. 43 (TG-43) of American Association of Physicists in Medicine is known as the most common method for the determination of dosimetric parameters for brachytherapy sources. The aim of this study is to obtain TG-43 dosimetric parameters for 60Co, 137Cs, 192Ir and 103Pd brachyt...

In this paper we describe a hybrid deterministic/Monte Carlo algorithm for neutron transport simulation. The algorithm is based on nonlinear accelerators for source iteration, using Monte Carlo methods for the purely absorbing high-order problem and a Jacobian-free Newton– Krylov iteration for the low-order problem. We couple the Monte Carlo solution with the low-order problem using filtering t...

We propose an efficient Monte Carlo algorithm for the off-lattice simulation of dense hard sphere polymer melts using cluster moves, called event chains, which allow for a rejection-free treatment of the excluded volume. Event chains also allow for an efficient preparation of initial configurations in polymer melts. We parallelize the event chain Monte Carlo algorithm to further increase simula...

In this paper, the importance sampling filter proposed by Mariano and Tanizaki (1995), Tanizaki (1996), Tanizaki and Mariano (1994) is extended using the antithetic Monte Carlo method to reduce the simulation errors. By Monte Carlo studies, the importance sampling filter with the antithetic Monte Carlo method is compared with the importance sampling filter without the antithetic Monte Carlo met...

in this paper, a stochastic two-stage model is offered for optimization of the day-ahead scheduling of the microgrid. system uncertainties including dispatchable distributed generation and energy storage contingencies are considered in the stochastic model. for handling uncertainties, monte carlo simulation is employed for generation several scenarios and then a reduction method is used to d...

Lattice Monte Carlo methods are an excellent choice for the simulation of non-linear thermal diffusion problems. In this paper, and for the first time, Lattice Monte Carlo analysis is performed on thermal diffusion combined with convective heat transfer. Laminar flow of water modeled as an incompressible fluid inside a copper pipe with a constant surface temperature is considered. For the simul...

An alternative Monte Carlo estimator for the one-body density rho(r) is presented. This estimator has a simple form and can be readily used in any type of Monte Carlo simulation. Comparisons with the usual regularization of the delta-function on a grid show that the statistical errors are greatly reduced. Furthermore, our expression allows accurate calculations of the density at any point in sp...