Un calcul probabiliste en génie civil. Évaluation de la probabilité de ruine des structures par une méthode de Monte-Carlo fondée sur une technique de conditionnement
Un método para la simulación de funciones aleatorias estacionarias de segundo orden.
A method is shown for the simulation in Rn of second order stationary random functions with given isotropic covariance. Particular solutions, ilustrated with examples, are provided in R1, R2 and R3.
Unit root testing in the presence of innovation variance breaks: a simple solution with increased power.
Using Monte Carlo Methods to Evaluate Sub-Optimal Exercise Policies for American Options
∗This research, which was funded by a grant from the Natural Sciences and Engineering Research Council of Canada, formed part of G.A.’s Ph.D. thesis [1].In this paper we use a Monte Carlo scheme to find the returns that an uninformed investor might expect from an American option if he followed one of several näıve exercise strategies rather than the optimal exercise strategy. We consider several such strategies that an ill-advised investor might follow. We also consider how the expected return...