Browsing by Subject "Monte Carlo"

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Aproksymacja i symulacje rozwiązań stochastycznych równań różniczkowych za pomocą algorytmu Milstein'a
(Data obrony: 2014-05-19) Dorzak, Krzysztof
Wydział Matematyki Stosowanej
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Design of comparator dedicated for innovative A/D dual slope integrating converter in 65nm CMOS technology
(Data obrony: 2021-01-22) Kusiak, Daniel
Wydział Informatyki, Elektroniki i Telekomunikacji
Access status: Open Access ,
Lower Precision calculation for option pricing
(Wydawnictwa AGH, 2017) Ścibisz-Mordelska, Katarzyna; Nielek, Radosław
The problem of options pricing is one of the most critical issues and fundamental building blocks in mathematical finance. The research includes deployment of lower precision type in two options pricing algorithms: Black-Scholes and Monte Carlo simulation. We make an assumption that the shorter the number used for calculations is (in bits), the more operations we are able to perform in the same time. The results are examined by a comparison to the outputs of single and double precision types. The major goal of the study is to indicate whether the lower precision types can be used in financial mathematics. The findings indicate that Black-Scholes provided more precise outputs than the basic implementation of Monte Carlo simulation. Modification of the Monte Carlo algorithm is also proposed. The research shows the limitations and opportunities of the lower precision type usage. In order to benefit from the application in terms of the time of calculation improved algorithms can be implemented on GPU or FPGA. We conclude that under particular restrictions the lower precision calculation can be used in mathematical finance.
Access status: Open Access ,
Quantifying the uncertainty in the ultimate recoverable oil reserves using the Monte Carlo simulation techniques from »OWA« Marginal Field, Onshore Niger Delta, Nigeria
(Wydawnictwa AGH, 2018) Adeigbe, Olubunmi Christopher; Odedere, Isaac Folorunso; Amodu, Omowunmi Idera
A review on the development of marginal oil fields in Nigeria has now become an important strategic issue if it is to remain amongst the top producers in the global market, and these fields are vast, available all over the Niger Delta. One of the factors that makes a field marginal is the size of its reserves. Stochastic estimation gives a certainty in terms of the possible number of outcomes within the range of input parameters. In this work, four (4) deviated wells and 3D seismic volume (362 inlines and 401 traces) were interpreted for the evaluation of the field. The petrophysical evaluations were interpreted using the Power Log software and the Seismic, Geographix and Petrel softwares. Stochastic reserve estimation was done using Monte Carlo sampling techniques and subjected to uncertainty quantification using the Crystal Ball software by varying distributions and measuring sensitivity impact on the overall reserves. The production profile was predicted based on some assumptions and history matching which result in the overall Expected Ultimate Recovery (EUR). The petrophysical analysis shows the reservoirs to be within the unconsolidated continental Benin Formation denoted as »Intra-Benin« sands, an unconventional reservoir as supposed the normal reservoir rocks within the Agbada Formation. This indicated high porosity (0.28), water resistivity (7 $\Omega \cdot$ m), and water saturation and also inferred Heavy Oil (low API). Nine hydrocarbon sands were identified but only three (B1, D and E), representing shallow, mid and deep reservoirs were further evaluated. 1P and 2P reserve estimates were 4.8 MMBO and 5.7 MMBO for B1, 15.2 MMMscf and 16.4 MMMscf for D, 8.4 MMMscf and 8.8 MMMscf for E respectively. The Monte Carlo simulation of 1,000,000 trials with mainly triangular distribution assumption generated P10, P50, P90 were 6.5 MMBO, 5.6 MMBO and 4.4 MMBO for B1, 17.5 MMMscf, 13.7 MMMscf and 10.8 MMMscf for D, 10.4 MMMscf, 8 MMMscf and 6.1 MMMscf for E respectively. The sensitivity impact of the input parameters were estimated and ranked, and the coefficient of variability ranges within 15% to 20% for the reservoirs indicating that there is a very low level uncertainty of reserve estimation around the P10, P50 and P90 percentiles which could be positive for investment decisions. »OWA« marginal field reflects a typical low reserve (EUR) category found within the Niger Delta basin.
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Rentgenowska fluorescencyjna analiza ilościowa próbek metalicznych metodą Monte Carlo
(Data obrony: 2020-12-11) Kaczmarek, Iga
Wydział Fizyki i Informatyki Stosowanej
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Rozwój metod optymalizacji rozkładu dawki w radioterapii protonowej z wykorzystaniem kodu Monte Carlo FRED
(Data obrony: 2020-07-23) Drwal, Jan
Wydział Fizyki i Informatyki Stosowanej
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Symulacja metodą Monte Carlo odpowiedzi otworowej sondy neutronowej NNTE w piaszczysto-ilastym profilu cienkowarstwowym i jej interpretacja metodą dekonwolucji
(Data obrony: 2014-10-03) Marchewka, Jakub
Wydział Geologii, Geofizyki i Ochrony Środowiska
The paper concerns the Monte Carlo NNTE simulation of neutron logging tool response. It describes the Monte Carlo method and how it is used in geophysics. It focuses on analysis of the detectors indications in flat parallel thin layers. The layers have a variety of thickness and parameters values. The data are summarized in the form of logs, and then deconvolution procedure is performed.
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Symulacja propagacji sygnału w linii przesyłowej metodą Monte Carlo
(Data obrony: 2021-01-28) Domagalski, Maciej
Wydział Fizyki i Informatyki Stosowanej
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Symulacje Monte - Carlo dla równań stochastycznych
(Data obrony: 2019-10-16) Koper, Justyna
Wydział Matematyki Stosowanej
Access status: Open Access ,
The MCB code for numerical modeling of Fourth Generation nuclear reactors
(Wydawnictwa AGH, 2015) Oettingen, Mikołaj; Cetnar, Jerzy; Mirowski, Tomasz
R&D in the nuclear reactor physics demands state-of-the-art numerical tools that are able to characterize investigated nuclear systems with high accuracy. In this paper, we present the Monte Carlo Continuous Energy Burnup Code (MCB) developed at AGH University’s Department of Nuclear Energy. The code is a versatile numerical tool dedicated to simulations of radiation transport and radiation-induced changes in matter in advanced nuclear systems like Fourth Generation nuclear reactors.We present the general characteristics of the code and its application for modeling of Very-High-Temperature Reactors and Lead-Cooled Fast Rectors. Currently, the code is being implemented on the supercomputers of the Academic Computer Center (CYFRONET) of AGH University and will soon be available to the international scientific community.
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Wycena opcji azjatyckich
(Data obrony: 2020-12-10) Legierski, Tomasz
Wydział Matematyki Stosowanej
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Wycena opcji azjatyckich i koszykowych za pomocą metody warunkowania
(Data obrony: 2020-12-22) Wielgus, Dawid
Wydział Matematyki Stosowanej
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Zastosowanie metody Monte Carlo do wyceny opcji amerykańskiej
(Data obrony: 2013-10-17) Ostachowski, Piotr
Wydział Matematyki Stosowanej
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Zastosowanie wybranej metody zarządzania zapasami dla pewnego sklepu plastycznego
(Data obrony: 2021-02-02) Miłkowski, Mateusz
Wydział Zarządzania
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Zbudowanie modelu symulacyjnego zużycia energii elektrycznej przez odbiorcę indywidualnego przy wykorzystaniu Metody Monte Carlo
(Data obrony: 2018-10-16) Kulinicz, Natalia
Wydział Zarządzania