Taylor expansion of effective Hamiltonians by Monte Carlo simulations with fixed block spins

1990 ◽  
Vol 47 (2) ◽  
pp. 325-331
Author(s):  
K. Pinn
Keyword(s):  
Monte Carlo ◽  
Monte Carlo Simulations ◽  
Taylor Expansion ◽  
Block Spins ◽  
Effective Hamiltonians

MOMENT APPROXIMATIONS OF DISPLACED FORWARD-LIBOR RATES WITH APPLICATION TO SWAPTIONS

2020 ◽  
Vol 23 (07) ◽  
pp. 2050046
Author(s):  
JACQUES VAN APPEL ◽  
THOMAS A. MCWALTER
Keyword(s):  
Monte Carlo ◽  
Monte Carlo Simulations ◽  
Joint Distribution ◽  
Taylor Expansion ◽  
State Dependence ◽  
Delta Method ◽  
Forward Rates ◽  
Quasi Monte Carlo ◽  
Approximate Moments ◽  
Drift Terms

We present an algorithm to approximate moments for forward rates under a displaced lognormal forward-LIBOR model (DLFM). Since the joint distribution of rates is unknown, we use a multi-dimensional full weak order 2.0 Ito–Taylor expansion in combination with a second-order Delta method. This more accurately accounts for state dependence in the drift terms, improving upon previous approaches. To verify this improvement we conduct quasi-Monte Carlo simulations. We use the new mean approximation to provide an improved swaption volatility approximation, and compare this to the approaches of Rebonato, Hull–White and Kawai, adapted to price swaptions under the DLFM. Rebonato and Hull–White are found to be the least accurate. While Kawai is the most accurate, it is computationally inefficient. Numerical results show that our approach strikes a balance between accuracy and efficiency.

Low-voltage EDS of magnesium ferrite Dendrites in a FEG-SEM

1996 ◽  
Vol 54 ◽  
pp. 478-479
Author(s):  
Matthew T. Johnson ◽  
Ian M. Anderson ◽  
Jim Bentley ◽  
C. Barry Carter
Keyword(s):  
Monte Carlo ◽  
Quantitative Analysis ◽  
Monte Carlo Simulations ◽  
Cross Section ◽  
Spatial Resolution ◽  
Low Voltage ◽  
Magnesium Ferrite ◽  
X Ray ◽  
Interaction Volume ◽  
Ferrite Spinel

Energy-dispersive X-ray spectrometry (EDS) performed at low (≤ 5 kV) accelerating voltages in the SEM has the potential for providing quantitative microanalytical information with a spatial resolution of ∼100 nm. In the present work, EDS analyses were performed on magnesium ferrite spinel [(MgxFe1−x)Fe2O4] dendrites embedded in a MgO matrix, as shown in Fig. 1. spatial resolution of X-ray microanalysis at conventional accelerating voltages is insufficient for the quantitative analysis of these dendrites, which have widths of the order of a few hundred nanometers, without deconvolution of contributions from the MgO matrix. However, Monte Carlo simulations indicate that the interaction volume for MgFe2O4 is ∼150 nm at 3 kV accelerating voltage and therefore sufficient to analyze the dendrites without matrix contributions.Single-crystal {001}-oriented MgO was reacted with hematite (Fe2O3) powder for 6 h at 1450°C in air and furnace cooled. The specimen was then cleaved to expose a clean cross-section suitable for microanalysis.

MONTE CARLO SIMULATIONS OF ELECTRON DRIFT VELOCITIES IN THE NOBLE GASES AND THEIR MIXTURES

1979 ◽  
Vol 40 (C7) ◽  
pp. C7-63-C7-64
Author(s):  
A. J. Davies ◽  
J. Dutton ◽  
C. J. Evans ◽  
A. Goodings ◽  
P.K. Stewart
Keyword(s):  
Monte Carlo ◽  
Monte Carlo Simulations ◽  
Noble Gases ◽  
Electron Drift
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