• Title, Summary, Keyword: 몬테카를로 시뮬레이션

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A Parallel Spreadsheet-based Monte Carlo Algorithm for Financial Derivatives Pricing (파생 상품의 가치 평가를 위한 몬테카를로 알고리즘에 기반한 병렬 스프레드시트)

  • Lee, Jae-Geun;Kim, Jin-Suk
    • Proceedings of the Korean Information Science Society Conference
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    • pp.1006-1008
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    • 2005
  • 최근에 계산금융 분야에서 복잡한 수식을 이용한 연산이 증가하고 있다. 그리고 계산금융 분야에서 몬테카를로 시뮬레이션은 대표적인 계산방법 중에 하나이다. 그러나 몬테카를로 시뮬레이션은 많은 반복연산을 수행하므로 연산시간이 오래 걸리는 문제점이 있다. 이러한 문제점을 해결하기 위하여 본 논문에서는 몬테카를로 시뮬레이션과 스프레드시트를 병렬로 처리하였다. 또한 실험을 통하여 병렬 스프레드시트의 계산 노드가 증가함에 따라 파생상품의 계산 시간이 단축되는 것을 보였다.

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A Ship-Valuation Model Based on Monte Carlo Simulation (몬테카를로 시뮬레이션방법을 이용한 선박가치 평가)

  • Choi, Jung-Suk;Lee, Ki-Hwan;Nam, Jong-Sik
    • Journal of Korea Port Economic Association
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    • v.31 no.3
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    • pp.1-14
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    • 2015
  • This study utilizes Monte Carlo simulation to forecast the time charter rate of vessels, the three-month Libor interest rate, and the ship demolition price, to mitigate future uncertainties involving these factors. The simulation was performed 10,000 times to obtain an exact result. For the empirical analysis - based on considerations in ordering ships in 2010-a comparison between the Monte Carlo simulation-based stochastic discounted cash flow (DCF) method and traditional DCF methods was made. The analysis revealed that the net present value obtained through Monte Carlo simulation was lower than that obtained via regular DCF methods, alerting the owners to risks and preventing them from placing injudicious orders for ships. This research has implications in reducing the uncertainties that future shipping markets face, through the use of a stochastic DCF approach with relevant variables and probability methods.

Monte Carlo Simulation for the Measurement of Entrance Skin Dose on Newborn and Infants (영·유아의 입사피부선량 측정을 위한 몬테카를로 시뮬레이션)

  • Kim, Sang-Tae
    • The Journal of the Korea Contents Association
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    • v.12 no.6
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    • pp.346-352
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    • 2012
  • Radiation dose estimation on the newborn and infants during radiation examinations, unlike for the adults, is not actively being progressed. Therefore, as an index to present exposure dose during radiation examinations on newborn and infants, entrance skin dose was measured, and the result was compared with results of monte carlo simulation to raise reproducibility of entrance skin dose measurement, and it was proved that various geometry implementation was possible. The resulting values through monte carlo simulation was estimated using normalization factors for entrance skin dose to calibrate radiation dose and then normalized to a unit X ray radiation field size. Average entrance skin dose per one time exposure was $78.41{\mu}Gy$ and the percentage error between measurement by dosimeter and by monte carlo simulation was found to be -4.77%. Entrance skin dose assessment by monte carlo simulation provides possible alternative method in difficult entrance skin dose estimation for the newborn and infants who visit hospital for actual diagnosis.

Uncertainty Analysis of Long-Term Behavior of Reinforced Concrete Members Under Axial Load (축력을 받는 철근콘크리트조 부재 장기거동 예측의 불확실성 분석)

  • Yoo, Jae-Wook;Kim, Seung-Nam;Yu, Eun-Jong;Ha, Tae-Hun
    • Journal of the Korea Concrete Institute
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    • v.26 no.3
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    • pp.343-350
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    • 2014
  • A probabilistic construction stage analysis using the Monte Carlo Simulation was performed to address the effects of uncertainty regarding the material properties, environmental factors, and applied forces. In the previous research, creep and shrinkage were assumed to be completely independent random variables. However, because of the common influencing factors in the material models for the creep and shrinkage estimation, strong correlation between creep and shrinkage can be presumed. In this paper, an Monte Carlo Simulation using CEB-FIB creep and shrinkage equations were performed to actually evaluate the correlation coefficient between two phenomena, and then another Monte Carlo Simulation to evaluate the statistical properties of axial strain affected by partially correlated random variables including the material properties, environmental factors, and applied forces. The results of Monte Carlo Simulation were compared with measured strains of a column on a first story in a 58-story building. Comparison indicated that the variation due to the uncertainty related with the material properties were most severe. And measured strains was within the range of mean+standard deviation.

Case Study of Accumulated Tolerance Analysis Using Monte Carlo Simulation for a Portable Medical Appliance (몬테카를로 시뮬레이션을 이용한 휴대용 의료기기 누적공차분석에 대한 사례연구)

  • Lee, Young Hoon;Moon, Dug Hee
    • Journal of the Korea Society for Simulation
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    • v.25 no.2
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    • pp.83-92
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    • 2016
  • Tolerances are defined as the allowable variations in the geometry and positioning of parts in a mechanical assembly for assuring its proper functionality. Tolerance analysis is the activity related to estimating the potential accumulated variation in assemblies. If the estimated variances go out of the specified ranges, it causes the quality problem. Thus, we should adjust the tolerances and this activity is called as tolerance design. In this paper, a case study on the accumulated tolerance analysis and design using Monte Carlo simulation is introduced, which is applied for developing a portable medical device. Using the simulation study, we can improve the assemblability and functionality of the product.

Synthetic risk management over risk of financial assets (금융자산의 위험에 관한 종합적 위험관리)

  • Kim, JongKwon
    • Journal of the Korea Safety Management and Science
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    • v.2 no.1
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    • pp.59-75
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    • 2000
  • 최근의 추세를 볼 때 위험관리에 관한 중요성이 점점 증대하고 있다. 그럼에도 불구하고 우리나라 은행들의 위험관리 실태는 아직 미흡한 실정이다. 그리고 대부분의 은행들이 현재 위험관리에 대응하기 위하여 ALM의 갭관리, 듀레이션관리 등을 행하고 있지만 BIS에서 중요시하고 있는 VaR의 개발과 운용은 아직 초보단계에 있다. 한국 주식포트폴리오에서 몬테카를로 시뮬레이션과 Full Variance Covariance Model의 VaR값은 비슷한 수준으로 Diagonal Model 의 VaR값 보다 작음을 알 수 있다. 이는 좀 더 정교한 계산이 요구되는 Full Variance Covariance Model의 VaR값이 보다 단순한 Diagonal Model의 VaR값 보다 정확성면에서 우수하다는 것을 보여주고 있다. 한편 이자율포트폴리오 의 경우에는 델타-감마 분석법과 몬테카를로 시뮬레이션의 경우 95% 신뢰구간의 VaR는 델타-감마 분석법이 작지만 99% 신뢰구간에서의 VaR는 몬테카를로 시뮬레이션방법이 작다는 것을 알 수 있다. 그래서 어느 한 가지 방법에 의한 VaR추정치가 가장 좋은 것이라고 단정하기 어려움을 알 수 있었다.

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Stage Separation Analysis of Launch Vehicle Using Monte Carlo Simulation (몬테카를로 시뮬레이션을 이용한 발사체 단 분리 운동 분석)

  • Oh, Choong-Seok;Sun, Byung-Chan;Park, Yong-Kyu;Roh, Woong-Rae
    • Journal of the Korean Society for Aeronautical & Space Sciences
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    • v.43 no.4
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    • pp.341-348
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    • 2015
  • This paper addresses Monte-Carlo simulation analyses for the stage separation of the general launch vehicle. The stage separation event of the launch vehicle occurs during a very short time and is related with many dynamic parameters. The stage separation is a critical event in that the launch fails if there is a collision during the stage separation. The stage separation analyses was conducted for the general launch vehicle to confirm the separation without collision within the designed clearance in case of the random input parameters. This paper presents the stochastic results of the stage separation of the launch vehicle using the Monte-Carlo simulation.

A Study on the Shielding Element Using Monte Carlo Simulation (몬테카를로 시뮬레이션을 이용한 차폐체 원소 평가)

  • Kim, Ki-Jeong;Shim, Jae-Goo
    • Journal of radiological science and technology
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    • v.40 no.2
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    • pp.269-274
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    • 2017
  • In this research, we simulated the elementary star shielding ability using Monte Carlo simulation to apply medical radiation shielding sheet which can replace existing lead. In the selection of elements, mainly elements and metal elements having a large atomic number, which are known to have high shielding performance, recently, various composite materials have improved shielding performance, so that weight reduction, processability, In consideration of activity etc., 21 elements were selected. The simulation tools were utilized Monte Carlo method. As a result of simulating the shielding performance by each element, it was estimated that the shielding ratio is the highest at 98.82% and 98.44% for tungsten and gold.

Monte Carlo Simulation for absorbed dose in PMMA phantom during the low-energy X-ray irradiation (저 에너지 X선 조사 시 PMMA 팬텀 내의 흡수선량 평가를 위한 몬테카를로 시뮬레이션)

  • Kim, Sang-Tae;Kang, Sang-Koo;Kim, Chong-Yeal
    • Journal of the Korean Society of Radiology
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    • v.5 no.6
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    • pp.383-389
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    • 2011
  • This study offered a new method to calculate absorbed dose of actual patients through Monte Carlo Simulation by using the linkage of Geant4 and DICOM, and, the experimental value of absorbed dose at the center and Geant 4 simulation result according to the depth of PMMA mock phantom were compared by using MOSEF in order to verify Geant4 calculation code. In the area where there was no air space between the irregular gap due to incomplete compression of PMMA slab, the differences were $0.46{\pm}4.69$ percent and $-0.75{\pm}5.19$percent in $15{\times}15cm^2$ and $20{\times}20cm^2$ respectively. Excluding the error due to incomplete compression of PMMA mock phantom, the calculation values of the Monte Carlo simulation by linkage of Geant4 and DICOM was the same.

Design of Equal-Cost Bifurcated Routing Algorithm : A Case Study Using Closure Approximation (클로즈 근사화를 이용한 등가 라우팅 알고리즘의 설계)

  • Lee, Bong-Hwan
    • The Transactions of the Korea Information Processing Society
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    • v.1 no.3
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    • pp.380-390
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    • 1994
  • In this paper, we propose an equal-cost bifurcated routing algorithm which may be useful in practical computer network design problem. The performance of the routing algorithm is evaluated using the conventional Monte Carlo simulation and a transient queueing approximation. The relative errors between the closure approximation and the Monte Carlo simulation was fairly small. The closure approximation may be used to evaluate the performance of the load splitting algorithms, which results in considerable execution time reduction. The performance of the proposed algorithm is compared to that of the known algorithms based on average packet delay. For networks that have many non-disjoint equal-paths, the proposed algorithm performed better than other algorithms.

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