scholarly journals An application to credit risk of a hybrid Monte Carlo–optimal quantization method

2013 ◽  
Vol 16 (4) ◽  
pp. 123-156 ◽  
Author(s):  
Giorgia Callegaro ◽  
Abass Sagna
Keyword(s):  
Monte Carlo ◽  
Credit Risk ◽  
Quantization Method ◽  
Hybrid Monte Carlo ◽  
Optimal Quantization

scholarly journals Hybrid Monte Carlo methods in credit risk management

2014 ◽  
Vol 20 (4) ◽  
Author(s):  
Lucia Del Chicca ◽  
Gerhard Larcher
Keyword(s):  
Risk Management ◽  
Monte Carlo ◽  
Credit Risk ◽  
Monte Carlo Methods ◽  
Management System ◽  
Credit Risk Management ◽  
Hybrid Monte Carlo ◽  
Quasi Monte Carlo ◽  
Risk Management System

AbstractIn this paper we analyze and compare the use of Monte Carlo, quasi-Monte Carlo and hybrid Monte Carlo methods in the credit risk management system “Credit Metrics” by J. P. Morgan. We show that hybrid sequences, used suitably for simulations, perform better, in many relevant situations, than pure Monte Carlo and pure quasi-Monte Carlo methods, and they only rarely perform worse than these methods.

scholarly journals The Ising model with Hybrid Monte Carlo

2021 ◽  
Vol 265 ◽  
pp. 107978
Author(s):  
Johann Ostmeyer ◽  
Evan Berkowitz ◽  
Thomas Luu ◽  
Marcus Petschlies ◽  
Ferenc Pittler
Keyword(s):  
Monte Carlo ◽  
Ising Model ◽  
Hybrid Monte Carlo

scholarly journals Testing a Fourier-accelerated hybrid Monte Carlo algorithm

2002 ◽  
Vol 528 (3-4) ◽  
pp. 301-305 ◽  
Author(s):  
Simon Catterall ◽  
Sergey Karamov
Keyword(s):  
Monte Carlo ◽  
Monte Carlo Algorithm ◽  
Hybrid Monte Carlo

scholarly journals COMPARISON OF UPDATE ALGORITHMS FOR PURE GAUGE SU(3)

1988 ◽  
Vol 03 (14) ◽  
pp. 1367-1378 ◽  
Author(s):  
RAJAN GUPTA ◽  
GREGORY W. KILCUP ◽  
APOORVA PATEL ◽  
STEPHEN R. SHARPE ◽  
PHILIPPE DE FORCRAND
Keyword(s):  
Monte Carlo ◽  
Monte Carlo Algorithm ◽  
Hybrid Monte Carlo ◽  
Pure Gauge

We show that the overrelaxed algorithm of Creutz and of Brown and Woch is the optimal local update algorithm for simulation of pure gauge SU(3). Our comparison criterion includes computer efficiency and decorrelation times. We also investigate the rate of decorrelation for the Hybrid Monte Carlo algorithm.

scholarly journals A Hybrid Monte Carlo Self-Consistent Field Model of Physical Gels of Telechelic Polymers

2018 ◽  
Vol 14 (12) ◽  
pp. 6532-6543 ◽  
Author(s):  
J. Bergsma ◽  
F. A. M. Leermakers ◽  
J. M. Kleijn ◽  
J. van der Gucht
Keyword(s):  
Monte Carlo ◽  
Field Model ◽  
Telechelic Polymers ◽  
Hybrid Monte Carlo ◽  
Consistent Field ◽  
Self Consistent ◽  
Self Consistent Field
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