Temat: Symulacja Monte Carlo - Katalog OPAC zbiorów

Skocz do pozycji: 1.

Tytuł:: A fuzzy approach to option pricing in a Levy process setting
Autorzy:: Nowak, P.
Romaniuk, M.
Powiązania:: https://bibliotekanauki.pl/articles/330572.pdf
Data publikacji:: 2013
Wydawca:: Uniwersytet Zielonogórski. Oficyna Wydawnicza
Tematy:: option pricing
Lévy process
minimal entropy
martingale measure
fuzzy sets
Monte Carlo simulation
wycena opcji
entropia minimalna
zbiór rozmyty
symulacja Monte Carlo
Opis:: In this paper the problem of European option valuation in a Levy process setting is analysed. In our model the underlying asset follows a geometric Levy process. The jump part of the log-price process, which is a linear combination of Poisson processes, describes upward and downward jumps in price. The proposed pricing method is based on stochastic analysis and the theory of fuzzy sets.We assume that some parameters of the financial instrument cannot be precisely described and therefore they are introduced to the model as fuzzy numbers. Application of fuzzy arithmetic enables us to consider various sources of uncertainty, not only the stochastic one. To obtain the European call option pricing formula we use the minimal entropy martingale measure and Levy characteristics.
Źródło:: International Journal of Applied Mathematics and Computer Science; 2013, 23, 3; 613-622
1641-876X
2083-8492
Pojawia się w:: International Journal of Applied Mathematics and Computer Science
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 2.

Tytuł:: Reliability-based safety evaluation of the BISTOON historic masonry arch bridge
Autorzy:: Pouraminian, Majid
Pourbakhshian, Somayyeh
Noroozinejad Farsangi, Ehsan
Berenji, Sevil
Keyani Borujeni, Salman
Moosavi Asl, Mirhasan
Mohammad Hosseini, Mehdi
Powiązania:: https://bibliotekanauki.pl/articles/395842.pdf
Data publikacji:: 2020
Wydawca:: Uniwersytet Zielonogórski. Oficyna Wydawnicza
Tematy:: masonry bridge
arch bridge
probability of failure
sensitivity analysis
Monte Carlo simulation
epistemic uncertainty
most murowany
most łukowy
prawdopodobieństwo awarii
analiza wrażliwości
symulacja Monte Carlo
Opis:: This research examines the probabilistic safety assessment of the historic BISTOON arch bridge. Probabilistic analysis based on the Load-Resistance model was performed. The evaluation of implicit functions of load and resistance was performed by the finite element method, and the Monte-Carlo approach was used for experiment simulation. The sampling method used was Latin Hypercube. Four random variables were considered including modulus of elasticity of brick and in filled materials and the specific mass of brick and infilled materials. The normal distribution was used to express the statistical properties of the random variables. The coefficient of variation was defined as 10%. Linear behavior was assumed for the bridge materials. Three output parameters of maximum bridge displacement, maximum tensile stress, and minimum compressive stress were assigned as structural limit states. A sensitivity analysis for probabilistic analysis was performed using the Spearman ranking method. The results showed that the sensitivity of output parameters to infilled density changes is high. The results also indicated that the system probability of failure is equal to rho_f^system=1,55x10^-3. The bridge safety index value obtained is beta^t=2.96, which is lower than the recommended target safety index. The required safety parameters for the bridge have not been met and the bridge is at the risk of failure.
Źródło:: Civil and Environmental Engineering Reports; 2020, 30, 1; 87-110
2080-5187
2450-8594
Pojawia się w:: Civil and Environmental Engineering Reports
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 3.

Tytuł:: Probabilistic safety evaluation of a concrete arch dam based on finite element modeling and a reliability L-R approach
Autorzy:: Pouraminian, Majid
Pourbakhshian, Somayyeh
Noroozinejad Farsangi, Ehsan
Fotoukian, Reza
Powiązania:: https://bibliotekanauki.pl/articles/396613.pdf
Data publikacji:: 2019
Wydawca:: Uniwersytet Zielonogórski. Oficyna Wydawnicza
Tematy:: Pacoima arch dam
safety evaluation
Monte Carlo simulation
hydrostatic pressure
random variables
worst case
zapora łukowa Pacoima
ocena bezpieczeństwa
symulacja Monte Carlo
ciśnienie hydrostatyczne
zmienne losowe
Opis:: The safety assessment of the Pacoima arch dam is investigated in this paper. A Load – Resistance (L-R) method was used to ensure that the dam is safe or if it is at risk of failure. The "probabilistic design system" ANSYS finite element software was used to calculate the probability of failure. The Monte Carlo (MC) method with 50,000 iterations utilized for simulation and the Latin Hypercube method were used for Sampling. Input random variables with normal distribution and coefficient of variation of 15% due to uncertainties were considered and the six random variables used are the concrete modulus of elasticity, Poisson's ratio of concrete, concrete mass, up-stream normal water level of the reservoir, and the allowable tensile and compressive strength of the concrete. Linear elastic behavior was assumed for the constitutive law of concrete material and if the stress exceeds the allowable stress of the concrete this is considered as a failure limit state. The maximum and minimum principal stresses were considered as the output parameter. Dam body safety was investigated only under self-weight and upstream hydrostatic pressure at the normal water level [...]
Źródło:: Civil and Environmental Engineering Reports; 2019, 29, 4; 62-78
2080-5187
2450-8594
Pojawia się w:: Civil and Environmental Engineering Reports
Dostawca treści:: Biblioteka Nauki

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