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  2. Monte Carlo method - Wikipedia

    en.wikipedia.org/wiki/Monte_Carlo_method

    Monte Carlo method: Pouring out a box of coins on a table, and then computing the ratio of coins that land heads versus tails is a Monte Carlo method of determining the behavior of repeated coin tosses, but it is not a simulation. Monte Carlo simulation: Drawing a large number of pseudo-random uniform variables from the interval [0,1] at one ...

  3. Monte Carlo methods in finance - Wikipedia

    en.wikipedia.org/wiki/Monte_Carlo_methods_in_finance

    The Monte Carlo method in Excel Prof. André Farber Solvay Business School; Sales Forecasting, vertex42.com; Pricing using Monte Carlo simulation, a practical example, Prof. Giancarlo Vercellino; Personal finance. A Better Way to Size Up Your Nest Egg, Businessweek Online: January 22, 2001

  4. Monte Carlo methods for option pricing - Wikipedia

    en.wikipedia.org/wiki/Monte_Carlo_methods_for...

    Monte Carlo simulated stock price time series and random number generator (allows for choice of distribution), Steven Whitney; Discussion papers and documents. Monte Carlo Simulation, Prof. Don M. Chance, Louisiana State University; Pricing complex options using a simple Monte Carlo Simulation, Peter Fink (reprint at quantnotes.com)

  5. Simulation decomposition - Wikipedia

    en.wikipedia.org/wiki/Simulation_decomposition

    It is based on Monte Carlo simulation and thus requires running a computational model a thousand of times or more. [1] To models that take hours to evaluate once, it would be impossible to use SimDec (unless a supercomputer and/or large of time are available).

  6. Variance reduction - Wikipedia

    en.wikipedia.org/wiki/Variance_reduction

    conditional Monte Carlo; and quasi random variables (in Quasi-Monte Carlo method) For simulation with black-box models subset simulation and line sampling can also be used. Under these headings are a variety of specialized techniques; for example, particle transport simulations make extensive use of "weight windows" and "splitting/Russian ...

  7. MCSim - Wikipedia

    en.wikipedia.org/wiki/MCSim

    GNU MCSim is a simulation and statistical inference tool for algebraic or differential equation systems, optimized for performing Monte Carlo analysis. The software comprises a model generator and a simulation engine: The model generator facilitates structural model definition and maintenance, while keeping execution time short.

  8. Kinetic Monte Carlo - Wikipedia

    en.wikipedia.org/wiki/Kinetic_Monte_Carlo

    KMC simulation of the Plateau-Rayleigh instability; KMC simulation of f.c.c. vicinal (100)-surface diffusion; Stochastic Kinetic Mean Field Model (gives similar results as lattice kinetic Monte Carlo, however, far more cost-effective and easier to realise — open source program code is provided)

  9. Comparison of system dynamics software - Wikipedia

    en.wikipedia.org/wiki/Comparison_of_system...

    Continuous simulation with stocks and flows, some discrete delay and discrete event functionality. Flexible array syntax with mapping among dimensions. Extensive support for time series data import and export, with calibration optimization and Markov chain Monte Carlo for estimation. Monte Carlo and other sensitivity simulation methods.

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