Application of Importance Sampling using Contaminated Normal Distribution to Multidimensional Variation Analysis

Size: px
Start display at page:

Download "Application of Importance Sampling using Contaminated Normal Distribution to Multidimensional Variation Analysis"

Transcription

1 1, 2 1 3, Monte Carlo g(x) g(x) g(x) g(x) g(x) / 6-24 SRAM Monte Carlo 2 5 Application of Importance Sampling using Contaminated Normal Distribution to Multidimensional Variation Analysis Shiho Hagiwara, 1, 2 Takanori Date, 1 Takumi Uezono, 3, 4 Kazuya Masu 1 and Takashi Sato 3 Process variation by miniaturization has been inducing yield degradation. Design-time yield estimation is required. Monte Carlo method, which is one of the effective yield estimation methods, has a problem that its convergence becomes slower when analyzing a low probability event. Although importance sampling can overcome this problem, it is valid only when the alternative probability density function, g(x), is appropriate. This paper proposes a procedure to determine appropriate g(x) when g(x) is a mixture gaussian distribution. In the proposed procedure, clustering result determines the number of normal distributions constructing g(x) and mean of each gaussian is determined through bisection method. g(x) determined by the proposed procedure can sample near the boundary of failure region and this accelerates yield estimation by importance sampling. SRAM yield estimations of 6 to 24 dimensions are also conducted as examples. The number of Monte Carlo trials has been reduced by 2-5 orders compared to a crude Monte Carlo simulation. 1. SRAM 10 Mbit SRAM 0.1 % SRAM [4] Monte Carlo Monte Carlo [5] SRAM Monte Carlo [5] 0 [1, 3, 4, 6, 8] [2] Monte Carlo 6 1 Integrated Research Institute, Tokyo Institute of Technology 2 DC Research Fellow of the Japan Society for the Promotion of Science 3 Graduate School of Informatics Kyoto University 4 PD Research Fellow of the Japan Society for the Promotion of Science 1

2 [9] [9] ( ) SRAM [2, 9] 6 24 Monte Carlo SRAM 5 2. Monte Carlo Monte Carlo 2.1 Monte Carlo x p(x) P P = J (x) p(x)dx (1) J (x) (0) (1) f(x) f th 1 f(x) > f th J (x) = (2) 0 f(x) f th (1) Monte Carlo P MC P MC = 1 N J (x i ) (3) N N x i p(x) P MC Var(P MC ) [3] Var(P MC ) = 1 N (P MC P MC 2 ). (4) Var(P MC) Var(PMC ) P MC ρ(p MC ) P MC P MC 100(1 ɛ)% ±100δ% ρ 0 δ ρ 0 = Φ 1 (ɛ/2). (5) Φ 1 (p) 95% (ɛ = 0.05) ±20% ρ 0.10 (4) N MC = 1 PMC 1 (6) ρ 2 P MC ρ 2 P MC Monte Carlo N 2.2 Monte Carlo 1 [5] (1) P = J (x) p(x) g(x) g(x)dx = J (x) w(x) g(x)dx (7) g(x) P P P IS P IS = 1 N N J (x i )w(x i ) (8) P IS Var(P IS) ( ) Var(P IS ) = 1 1 N J (x i ) w(x i ) 2 2 P IS. (9) N N 2

3 g(x) = cj (x)p(x) ( (c ) ) Var(P IS) 1 N Var(P IS ) = Var J (x i )w(x i ) = Var(1/c) = 0. (10) N J (x)p(x) g (x) 0 g (x) g (x) g(x) g(x) g(x) 3. d x p(x) [ ] 1 p(x) = exp xt x. (11) (2π) d/2 2 p(x) g (x) g(x) (1) (2) (3) r S(r) r 1 n s r n f n f r 1 n f n s 1/n s n f /n s e 1/n s < e n f /n s n f > 1/e (12) Fig. 1 1 Incremental hypersphere sampling. θ c k g k 2 T k Fig. 2 Definition of solid of revolution T k. n F n f r 1 S(r 1) F F 0 1 ( 1 ) k(k > 1) g k g k c k g k c k θ k ( ) gk c k θ k = arccos (13) g k c k c k g k T k ( 2) r T k D k (r) D k (r) / 1: r max = r 1 2: r min = 0 3: repeat 4: r = (r max + r min )/2 5: S fail := a set of failure samples found in D k (r) 3

4 6: if the number of S fail > 0 then 7: r max := r 8: F k := S fail 9: else 10: r min := r 11: end if 12: until r max r min > r th 13: m k := argmax f(s) s F k s 5 n s (θ k /π) r max r min r th (12 ) r th D k (r max ) f(x) f th m k m k m(x) m(x) p(m 1) m(x) = nc p(m k=1 k) p(x m1) + p(m 2) nc p(m p(x m2) +... k=1 k) + p(m n c ) nc p(m k=1 k) p(x m n c ). (14) n c P IS ρ(p IS ) ρ 0 4. SRAM 3 6 SRAM PTM 65nm [7] 1 1 nmos 2 access tr., driver tr. SNM 0 Monte Carlo 6 ( Word Line Bit Line load tr. access tr. VL driver tr. VDD = 1V GND load tr. V R driver tr. access tr. 3 SRAM Fig. 3 Schematic of SRAM cell. #Bit Line 1 SRAM Table 1 Parameters of transistors in SRAM. nmos pmos (mv) , (nm) (mm 2 /Vs) (nm) (nm) 110, ) 12 (+ ) 18 (+) 24 (+ ) Monte Carlo ρ ( ) ρ < % (ɛ = 0.05) ±20% 3 n s Monte Carlo 4 20 Monte Carlo 1 Monte Carlo (6) N MC Monte Carlo (6,12 ) 95% 20% (5) ( n c ) 6,12,18 20 n c = n c = 2 2 n c = 3 n s ( ms 3.1e

5 2 Monte Carlo SRAM Table 2 Comparison of estimation results and number of samples. Monte Carlo p p IHS IS 6 - (1.8e+10) 5.6e k 11.8k k 0.8k - 2.0k 38.0k k 12 - (3.1e+08) 3.3e k 29.0k k 0.6k - 2.9k 80.1k k e e e k 31.2k k 1.4k k 122.1k k e e e k 75.1k k 1.3k k 197.9k k IHS IS 1/2 ) n c = 3 [10] ( ) ( ) 4.2 m(x) Monte Carlo d n s 2 d n s d Monte Carlo m(x)( m k ) m(x) J (x)p(x) x m(x) {x f } J (x f )p(x f ) m(x f ) ( ) 4 d ( ) 1.08 d SRAM 3 SRAM (6 ) [3,4,9] 3 [9] 20 3 [9] 1 2 m [9] [4] 3 [3] [ 10σ, 10σ] 2 Monte Carlo 5 [4] 5

6 250k 200k 150k 100k 50k Fig. 4 Breakdown of number of samples. Table 3 50k 40k 30k 20k 10k m(x) Fig. 5 The relation between standard deviation and the number of samples used for importance sampling. 3 Speed comparison with other importance sampling techniques. p IS () 5.6e k k [9] 5.6e k k [4] 5.7e k 296k [3] 5.0e k 220k 230k [3] 5. SRAM Monte Carlo Monte Carlo Monte Carlo NEDO 1) Chen, G., Blaauw, D., Mudge, T., Sylvester, D. and Kim, N.S.: Yield-driven nearthreshold SRAM design, Proceedings of IEEE/ACM International Conference on Computer-Aided Design, pp (2007). 2) Date, T., Hagiwara, S., Masu, K. and Sato, T.: Robust importance sampling for efficient SRAM yield analysis, Proceedings of IEEE International Symposium on Quality Electronic Design, pp (2010). 3) Dolecek, L., Qazi, M., Shah, D. and Chandrakasan, A.: Breaking the simulation barrier: SRAM evaluation through norm minimization, Proceedings of IEEE/ACM International Conference on Computer-Aided Design, pp (2008). 4) Doorn, T., ter Maten, E., Croon, J., DiBucchianico, A. and Wittich, O.: Importance sampling Monte Carlo simulations for accurate estimation of SRAM yield, Proceedings of European Solid-State Circuits Conference, pp (2008). 5) Hesterberg, T.C.: Advances in Importance Sampling, PhD Thesis, Statistics Department, Stanford Univ. (1988). 6) Kanj, R., Joshi, R. and Nassif, S.: Mixture importance sampling and its application to the analysis of SRAM designs in the presence of rare failure events, Proceedings of IEEE/ACM Design Automation Conference, pp (2006). 7) Predictive Technology Model (PTM): 8) Wang, J., Yaldiz, S., Li, X. and Pileggi, L.: SRAM parametric failure analysis, Proceedings of IEEE/ACM Design Automation Conference, pp (2009). 9),,, VLSI No.462, pp (2010). 10) (2)Vol.18, No.1 (2003). 6

EE6361 : Importance Sampling

EE6361 : Importance Sampling EE6361 : Importance Sampling Electrical Engineering Department IIT Madras Janakiraman Viraraghavan Agenda Yield analysis in memories Statistical Compact Model Traditional Monte-Carlo Limitations of Monte-Carlo

More information

Optimal Search for Parameters in Monte Carlo Simulation for Derivative Pricing

Optimal Search for Parameters in Monte Carlo Simulation for Derivative Pricing Optimal Search for Parameters in Monte Carlo Simulation for Derivative Pricing Prof. Chuan-Ju Wang Department of Computer Science University of Taipei Joint work with Prof. Ming-Yang Kao March 28, 2014

More information

Monte Carlo: Naïve Lecture #14 Rigoberto Hernandez. Monte Carlo Methods 3

Monte Carlo: Naïve Lecture #14 Rigoberto Hernandez. Monte Carlo Methods 3 Major Concepts Naïve Monte Carlo E.g., calculating π" Metropolis Monte Carlo Detailed Balance Improved Sampling Techniques Importance Sampling Umbrella Sampling Torrie and Valleau (1977) The Wolff Algorithm

More information

ROM SIMULATION Exact Moment Simulation using Random Orthogonal Matrices

ROM SIMULATION Exact Moment Simulation using Random Orthogonal Matrices ROM SIMULATION Exact Moment Simulation using Random Orthogonal Matrices Bachelier Finance Society Meeting Toronto 2010 Henley Business School at Reading Contact Author : d.ledermann@icmacentre.ac.uk Alexander

More information

CPSC 540: Machine Learning

CPSC 540: Machine Learning CPSC 540: Machine Learning Monte Carlo Methods Mark Schmidt University of British Columbia Winter 2019 Last Time: Markov Chains We can use Markov chains for density estimation, d p(x) = p(x 1 ) p(x }{{}

More information

Machine Learning for Quantitative Finance

Machine Learning for Quantitative Finance Machine Learning for Quantitative Finance Fast derivative pricing Sofie Reyners Joint work with Jan De Spiegeleer, Dilip Madan and Wim Schoutens Derivative pricing is time-consuming... Vanilla option pricing

More information

Chapter 2 Uncertainty Analysis and Sampling Techniques

Chapter 2 Uncertainty Analysis and Sampling Techniques Chapter 2 Uncertainty Analysis and Sampling Techniques The probabilistic or stochastic modeling (Fig. 2.) iterative loop in the stochastic optimization procedure (Fig..4 in Chap. ) involves:. Specifying

More information

Monte Carlo: Naïve Lecture #19 Rigoberto Hernandez. Monte Carlo Methods 3

Monte Carlo: Naïve Lecture #19 Rigoberto Hernandez. Monte Carlo Methods 3 Major Concepts Naïve Monte Carlo E.g., calculating π" Metropolis Monte Carlo Detailed Balance Improved Sampling Techniques Importance Sampling Umbrella Sampling Torrie and Valleau (1977) The Wolff Algorithm

More information

CPSC 540: Machine Learning

CPSC 540: Machine Learning CPSC 540: Machine Learning Monte Carlo Methods Mark Schmidt University of British Columbia Winter 2018 Last Time: Markov Chains We can use Markov chains for density estimation, p(x) = p(x 1 ) }{{} d p(x

More information

Short & Long Run impact of volatility on the effect monetary shocks

Short & Long Run impact of volatility on the effect monetary shocks Short & Long Run impact of volatility on the effect monetary shocks Fernando Alvarez University of Chicago & NBER Inflation: Drivers & Dynamics Conference 218 Cleveland Fed Alvarez Volatility & Monetary

More information

Asymptotic methods in risk management. Advances in Financial Mathematics

Asymptotic methods in risk management. Advances in Financial Mathematics Asymptotic methods in risk management Peter Tankov Based on joint work with A. Gulisashvili Advances in Financial Mathematics Paris, January 7 10, 2014 Peter Tankov (Université Paris Diderot) Asymptotic

More information

EFFICIENT MONTE CARLO ALGORITHM FOR PRICING BARRIER OPTIONS

EFFICIENT MONTE CARLO ALGORITHM FOR PRICING BARRIER OPTIONS Commun. Korean Math. Soc. 23 (2008), No. 2, pp. 285 294 EFFICIENT MONTE CARLO ALGORITHM FOR PRICING BARRIER OPTIONS Kyoung-Sook Moon Reprinted from the Communications of the Korean Mathematical Society

More information

Enhancing Insurer Value Via Reinsurance Optimization

Enhancing Insurer Value Via Reinsurance Optimization Enhancing Insurer Value Via Reinsurance Optimization Actuarial Research Symposium 2004 @UNSW Yuriy Krvavych and Michael Sherris University of New South Wales Sydney, AUSTRALIA Actuarial Research Symposium

More information

Practice 10: Ratioed Logic

Practice 10: Ratioed Logic Practice 0: Ratioed Logic Digital Electronic Circuits Semester A 0 Ratioed vs. Non-Ratioed Standard CMOS is a non-ratioed logic family, because: The logic function will be correctly implemented regardless

More information

A DRAM based Physical Unclonable Function Capable of Generating >10 32 Challenge Response Pairs per 1Kbit Array for Secure Chip Authentication

A DRAM based Physical Unclonable Function Capable of Generating >10 32 Challenge Response Pairs per 1Kbit Array for Secure Chip Authentication A DRAM based Physical Unclonable Function Capable of Generating >10 32 Challenge Response Pairs per 1Kbit Array for Secure Chip Authentication Q. Tang, C. Zhou, *W. Choi, *G. Kang, *J. Park, K. K. Parhi,

More information

Gamma. The finite-difference formula for gamma is

Gamma. The finite-difference formula for gamma is Gamma The finite-difference formula for gamma is [ P (S + ɛ) 2 P (S) + P (S ɛ) e rτ E ɛ 2 ]. For a correlation option with multiple underlying assets, the finite-difference formula for the cross gammas

More information

Reverse Sensitivity Testing: What does it take to break the model? Silvana Pesenti

Reverse Sensitivity Testing: What does it take to break the model? Silvana Pesenti Reverse Sensitivity Testing: What does it take to break the model? Silvana Pesenti Silvana.Pesenti@cass.city.ac.uk joint work with Pietro Millossovich and Andreas Tsanakas Insurance Data Science Conference,

More information

The Use of Importance Sampling to Speed Up Stochastic Volatility Simulations

The Use of Importance Sampling to Speed Up Stochastic Volatility Simulations The Use of Importance Sampling to Speed Up Stochastic Volatility Simulations Stan Stilger June 6, 1 Fouque and Tullie use importance sampling for variance reduction in stochastic volatility simulations.

More information

Posterior Inference. , where should we start? Consider the following computational procedure: 1. draw samples. 2. convert. 3. compute properties

Posterior Inference. , where should we start? Consider the following computational procedure: 1. draw samples. 2. convert. 3. compute properties Posterior Inference Example. Consider a binomial model where we have a posterior distribution for the probability term, θ. Suppose we want to make inferences about the log-odds γ = log ( θ 1 θ), where

More information

Technische Universiteit Delft Faculteit Elektrotechniek, Wiskunde en Informatica Delft Institute of Applied Mathematics

Technische Universiteit Delft Faculteit Elektrotechniek, Wiskunde en Informatica Delft Institute of Applied Mathematics Technische Universiteit Delft Faculteit Elektrotechniek, Wiskunde en Informatica Delft Institute of Applied Mathematics Het nauwkeurig bepalen van de verlieskans van een portfolio van risicovolle leningen

More information

Rapid computation of prices and deltas of nth to default swaps in the Li Model

Rapid computation of prices and deltas of nth to default swaps in the Li Model Rapid computation of prices and deltas of nth to default swaps in the Li Model Mark Joshi, Dherminder Kainth QUARC RBS Group Risk Management Summary Basic description of an nth to default swap Introduction

More information

Reinforcement Learning and Simulation-Based Search

Reinforcement Learning and Simulation-Based Search Reinforcement Learning and Simulation-Based Search David Silver Outline 1 Reinforcement Learning 2 3 Planning Under Uncertainty Reinforcement Learning Markov Decision Process Definition A Markov Decision

More information

Module 4: Monte Carlo path simulation

Module 4: Monte Carlo path simulation Module 4: Monte Carlo path simulation Prof. Mike Giles mike.giles@maths.ox.ac.uk Oxford University Mathematical Institute Module 4: Monte Carlo p. 1 SDE Path Simulation In Module 2, looked at the case

More information

Overnight Index Rate: Model, calibration and simulation

Overnight Index Rate: Model, calibration and simulation Research Article Overnight Index Rate: Model, calibration and simulation Olga Yashkir and Yuri Yashkir Cogent Economics & Finance (2014), 2: 936955 Page 1 of 11 Research Article Overnight Index Rate: Model,

More information

EC316a: Advanced Scientific Computation, Fall Discrete time, continuous state dynamic models: solution methods

EC316a: Advanced Scientific Computation, Fall Discrete time, continuous state dynamic models: solution methods EC316a: Advanced Scientific Computation, Fall 2003 Notes Section 4 Discrete time, continuous state dynamic models: solution methods We consider now solution methods for discrete time models in which decisions

More information

Equity correlations implied by index options: estimation and model uncertainty analysis

Equity correlations implied by index options: estimation and model uncertainty analysis 1/18 : estimation and model analysis, EDHEC Business School (joint work with Rama COT) Modeling and managing financial risks Paris, 10 13 January 2011 2/18 Outline 1 2 of multi-asset models Solution to

More information

SAQ KONTROLL AB Box 49306, STOCKHOLM, Sweden Tel: ; Fax:

SAQ KONTROLL AB Box 49306, STOCKHOLM, Sweden Tel: ; Fax: ProSINTAP - A Probabilistic Program for Safety Evaluation Peter Dillström SAQ / SINTAP / 09 SAQ KONTROLL AB Box 49306, 100 29 STOCKHOLM, Sweden Tel: +46 8 617 40 00; Fax: +46 8 651 70 43 June 1999 Page

More information

"Pricing Exotic Options using Strong Convergence Properties

Pricing Exotic Options using Strong Convergence Properties Fourth Oxford / Princeton Workshop on Financial Mathematics "Pricing Exotic Options using Strong Convergence Properties Klaus E. Schmitz Abe schmitz@maths.ox.ac.uk www.maths.ox.ac.uk/~schmitz Prof. Mike

More information

ELEMENTS OF MONTE CARLO SIMULATION

ELEMENTS OF MONTE CARLO SIMULATION APPENDIX B ELEMENTS OF MONTE CARLO SIMULATION B. GENERAL CONCEPT The basic idea of Monte Carlo simulation is to create a series of experimental samples using a random number sequence. According to the

More information

Analysis of truncated data with application to the operational risk estimation

Analysis of truncated data with application to the operational risk estimation Analysis of truncated data with application to the operational risk estimation Petr Volf 1 Abstract. Researchers interested in the estimation of operational risk often face problems arising from the structure

More information

THE OPTIMAL ASSET ALLOCATION PROBLEMFOR AN INVESTOR THROUGH UTILITY MAXIMIZATION

THE OPTIMAL ASSET ALLOCATION PROBLEMFOR AN INVESTOR THROUGH UTILITY MAXIMIZATION THE OPTIMAL ASSET ALLOCATION PROBLEMFOR AN INVESTOR THROUGH UTILITY MAXIMIZATION SILAS A. IHEDIOHA 1, BRIGHT O. OSU 2 1 Department of Mathematics, Plateau State University, Bokkos, P. M. B. 2012, Jos,

More information

The Monte Carlo Method in High Performance Computing

The Monte Carlo Method in High Performance Computing The Monte Carlo Method in High Performance Computing Dieter W. Heermann Monte Carlo Methods 2015 Dieter W. Heermann (Monte Carlo Methods)The Monte Carlo Method in High Performance Computing 2015 1 / 1

More information

Monte Carlo Methods. Prof. Mike Giles. Oxford University Mathematical Institute. Lecture 1 p. 1.

Monte Carlo Methods. Prof. Mike Giles. Oxford University Mathematical Institute. Lecture 1 p. 1. Monte Carlo Methods Prof. Mike Giles mike.giles@maths.ox.ac.uk Oxford University Mathematical Institute Lecture 1 p. 1 Geometric Brownian Motion In the case of Geometric Brownian Motion ds t = rs t dt+σs

More information

Operational Risk Aggregation

Operational Risk Aggregation Operational Risk Aggregation Professor Carol Alexander Chair of Risk Management and Director of Research, ISMA Centre, University of Reading, UK. Loss model approaches are currently a focus of operational

More information

Overview. Transformation method Rejection method. Monte Carlo vs ordinary methods. 1 Random numbers. 2 Monte Carlo integration.

Overview. Transformation method Rejection method. Monte Carlo vs ordinary methods. 1 Random numbers. 2 Monte Carlo integration. Overview 1 Random numbers Transformation method Rejection method 2 Monte Carlo integration Monte Carlo vs ordinary methods 3 Summary Transformation method Suppose X has probability distribution p X (x),

More information

Chain Bankruptcy Size in Inter-bank Networks: the Effects of Asset Price Volatility and the Network Structure

Chain Bankruptcy Size in Inter-bank Networks: the Effects of Asset Price Volatility and the Network Structure Chain Bankruptcy Size in Inter-bank Networks: the Effects of Asset Price Volatility and the Network Structure Ryo Hamawaki 1, Kiyoshi Izumi 1, Hiroki Sakaji 1, Takashi Shimada 1, and Hiroyasu Matsushima

More information

Much of what appears here comes from ideas presented in the book:

Much of what appears here comes from ideas presented in the book: Chapter 11 Robust statistical methods Much of what appears here comes from ideas presented in the book: Huber, Peter J. (1981), Robust statistics, John Wiley & Sons (New York; Chichester). There are many

More information

Risk Measurement in Credit Portfolio Models

Risk Measurement in Credit Portfolio Models 9 th DGVFM Scientific Day 30 April 2010 1 Risk Measurement in Credit Portfolio Models 9 th DGVFM Scientific Day 30 April 2010 9 th DGVFM Scientific Day 30 April 2010 2 Quantitative Risk Management Profit

More information

Bitline PUF:! Building Native Challenge-Response PUF Capability into Any SRAM. Daniel E. Holcomb Kevin Fu University of Michigan

Bitline PUF:! Building Native Challenge-Response PUF Capability into Any SRAM. Daniel E. Holcomb Kevin Fu University of Michigan Sept 26, 24 Cryptographic Hardware and Embedded Systems Bitline PUF:! Building Native Challenge-Response PUF Capability into Any SRAM Daniel E. Holcomb Kevin Fu University of Michigan Acknowledgment: This

More information

Sample Path Large Deviations and Optimal Importance Sampling for Stochastic Volatility Models

Sample Path Large Deviations and Optimal Importance Sampling for Stochastic Volatility Models Sample Path Large Deviations and Optimal Importance Sampling for Stochastic Volatility Models Scott Robertson Carnegie Mellon University scottrob@andrew.cmu.edu http://www.math.cmu.edu/users/scottrob June

More information

Value at Risk Ch.12. PAK Study Manual

Value at Risk Ch.12. PAK Study Manual Value at Risk Ch.12 Related Learning Objectives 3a) Apply and construct risk metrics to quantify major types of risk exposure such as market risk, credit risk, liquidity risk, regulatory risk etc., and

More information

Stochastic Grid Bundling Method

Stochastic Grid Bundling Method Stochastic Grid Bundling Method GPU Acceleration Delft University of Technology - Centrum Wiskunde & Informatica Álvaro Leitao Rodríguez and Cornelis W. Oosterlee London - December 17, 2015 A. Leitao &

More information

Lecture outline. Monte Carlo Methods for Uncertainty Quantification. Importance Sampling. Importance Sampling

Lecture outline. Monte Carlo Methods for Uncertainty Quantification. Importance Sampling. Importance Sampling Lecture outline Monte Carlo Methods for Uncertainty Quantification Mike Giles Mathematical Institute, University of Oxford KU Leuven Summer School on Uncertainty Quantification Lecture 2: Variance reduction

More information

"Vibrato" Monte Carlo evaluation of Greeks

Vibrato Monte Carlo evaluation of Greeks "Vibrato" Monte Carlo evaluation of Greeks (Smoking Adjoints: part 3) Mike Giles mike.giles@maths.ox.ac.uk Oxford University Mathematical Institute Oxford-Man Institute of Quantitative Finance MCQMC 2008,

More information

The VaR framework for risk management

The VaR framework for risk management The VaR framework for risk management May 24, 2001 Page 1 of 20 Overview Systemic risk in the market Risk management using margins Exploring the concepts of VaR Some examples of VaR for derivatives portfolios

More information

A Heuristic Method for Statistical Digital Circuit Sizing

A Heuristic Method for Statistical Digital Circuit Sizing A Heuristic Method for Statistical Digital Circuit Sizing Stephen Boyd Seung-Jean Kim Dinesh Patil Mark Horowitz Microlithography 06 2/23/06 Statistical variation in digital circuits growing in importance

More information

LOSS SEVERITY DISTRIBUTION ESTIMATION OF OPERATIONAL RISK USING GAUSSIAN MIXTURE MODEL FOR LOSS DISTRIBUTION APPROACH

LOSS SEVERITY DISTRIBUTION ESTIMATION OF OPERATIONAL RISK USING GAUSSIAN MIXTURE MODEL FOR LOSS DISTRIBUTION APPROACH LOSS SEVERITY DISTRIBUTION ESTIMATION OF OPERATIONAL RISK USING GAUSSIAN MIXTURE MODEL FOR LOSS DISTRIBUTION APPROACH Seli Siti Sholihat 1 Hendri Murfi 2 1 Department of Accounting, Faculty of Economics,

More information

Performance of robust portfolio optimization in crisis periods

Performance of robust portfolio optimization in crisis periods Control and Cybernetics vol. 42 (2013) No. 4 Performance of robust portfolio optimization in crisis periods by Muhammet Balcilar 1 and Alper Ozun 2 1 Department of Computer Science, Yildiz Technical University

More information

MAFS Computational Methods for Pricing Structured Products

MAFS Computational Methods for Pricing Structured Products MAFS550 - Computational Methods for Pricing Structured Products Solution to Homework Two Course instructor: Prof YK Kwok 1 Expand f(x 0 ) and f(x 0 x) at x 0 into Taylor series, where f(x 0 ) = f(x 0 )

More information

Monte Carlo Methods in Option Pricing. UiO-STK4510 Autumn 2015

Monte Carlo Methods in Option Pricing. UiO-STK4510 Autumn 2015 Monte Carlo Methods in Option Pricing UiO-STK4510 Autumn 015 The Basics of Monte Carlo Method Goal: Estimate the expectation θ = E[g(X)], where g is a measurable function and X is a random variable such

More information

The pricing method of the purchase option by the book value for equipment service

The pricing method of the purchase option by the book value for equipment service The pricing method of the purchase option by the book value for equipment service Shigeyuki Tani, Tadasuke Nakagawa, and Norihisa Komoda Abstract In the equipment service some users appear who want to

More information

Earnings Inequality and the Minimum Wage: Evidence from Brazil

Earnings Inequality and the Minimum Wage: Evidence from Brazil Earnings Inequality and the Minimum Wage: Evidence from Brazil Niklas Engbom June 16, 2016 Christian Moser World Bank-Bank of Spain Conference This project Shed light on drivers of earnings inequality

More information

CSC 411: Lecture 08: Generative Models for Classification

CSC 411: Lecture 08: Generative Models for Classification CSC 411: Lecture 08: Generative Models for Classification Richard Zemel, Raquel Urtasun and Sanja Fidler University of Toronto Zemel, Urtasun, Fidler (UofT) CSC 411: 08-Generative Models 1 / 23 Today Classification

More information

Incorporating Variability into Life Cycle Cost Analysis and Pay Factors for Performance-Based Specifications

Incorporating Variability into Life Cycle Cost Analysis and Pay Factors for Performance-Based Specifications Incorporating Variability into Life Cycle Cost Analysis and Pay Factors for Performance-Based Specifications Leanne Whiteley, BASc. MASc Candidate Susan Tighe, Ph.D., P.Eng. Canada Research Chair in Pavement

More information

Vega Maps: Predicting Premium Change from Movements of the Whole Volatility Surface

Vega Maps: Predicting Premium Change from Movements of the Whole Volatility Surface Vega Maps: Predicting Premium Change from Movements of the Whole Volatility Surface Ignacio Hoyos Senior Quantitative Analyst Equity Model Validation Group Risk Methodology Santander Alberto Elices Head

More information

Analysis of Partial Discharge using Phase-Resolved (n-q) Statistical Techniques

Analysis of Partial Discharge using Phase-Resolved (n-q) Statistical Techniques Analysis of Partial Discharge using Phase-Resolved (n-q) Statistical Techniques Priyanka M. Kothoke, Namrata R. Bhosale, Amol Despande, Dr. Alice N. Cheeran Department of Electrical Engineering, Veermata

More information

Monte Carlo and Empirical Methods for Stochastic Inference (MASM11/FMS091)

Monte Carlo and Empirical Methods for Stochastic Inference (MASM11/FMS091) Monte Carlo and Empirical Methods for Stochastic Inference (MASM11/FMS091) Magnus Wiktorsson Centre for Mathematical Sciences Lund University, Sweden Lecture 3 Importance sampling January 27, 2015 M. Wiktorsson

More information

Monte Carlo and Empirical Methods for Stochastic Inference (MASM11/FMSN50)

Monte Carlo and Empirical Methods for Stochastic Inference (MASM11/FMSN50) Monte Carlo and Empirical Methods for Stochastic Inference (MASM11/FMSN50) Magnus Wiktorsson Centre for Mathematical Sciences Lund University, Sweden Lecture 5 Sequential Monte Carlo methods I January

More information

BAYESIAN NONPARAMETRIC ANALYSIS OF SINGLE ITEM PREVENTIVE MAINTENANCE STRATEGIES

BAYESIAN NONPARAMETRIC ANALYSIS OF SINGLE ITEM PREVENTIVE MAINTENANCE STRATEGIES Proceedings of 17th International Conference on Nuclear Engineering ICONE17 July 1-16, 9, Brussels, Belgium ICONE17-765 BAYESIAN NONPARAMETRIC ANALYSIS OF SINGLE ITEM PREVENTIVE MAINTENANCE STRATEGIES

More information

Operational Risk Aggregation

Operational Risk Aggregation Operational Risk Aggregation Professor Carol Alexander Chair of Risk Management and Director of Research, ISMA Centre, University of Reading, UK. Loss model approaches are currently a focus of operational

More information

Credit Portfolio Simulation with MATLAB

Credit Portfolio Simulation with MATLAB Credit Portfolio Simulation with MATLAB MATLAB Conference 2015 Switzerland Dr. Marcus Wunsch Associate Director Statistical Risk Aggregation Methodology Risk Methodology, UBS AG Disclaimer: The opinions

More information

Investment strategies and risk management for participating life insurance contracts

Investment strategies and risk management for participating life insurance contracts 1/20 Investment strategies and risk for participating life insurance contracts and Steven Haberman Cass Business School AFIR Colloquium Munich, September 2009 2/20 & Motivation Motivation New supervisory

More information

Week 1 Quantitative Analysis of Financial Markets Distributions B

Week 1 Quantitative Analysis of Financial Markets Distributions B Week 1 Quantitative Analysis of Financial Markets Distributions B Christopher Ting http://www.mysmu.edu/faculty/christophert/ Christopher Ting : christopherting@smu.edu.sg : 6828 0364 : LKCSB 5036 October

More information

Chapter Fourteen: Simulation

Chapter Fourteen: Simulation TaylCh14ff.qxd 4/21/06 8:39 PM Page 213 Chapter Fourteen: Simulation PROBLEM SUMMARY 1. Rescue squad emergency calls PROBLEM SOLUTIONS 1. 2. Car arrivals at a service station 3. Machine breakdowns 4. Income

More information

MAS3904/MAS8904 Stochastic Financial Modelling

MAS3904/MAS8904 Stochastic Financial Modelling MAS3904/MAS8904 Stochastic Financial Modelling Dr Andrew (Andy) Golightly a.golightly@ncl.ac.uk Semester 1, 2018/19 Administrative Arrangements Lectures on Tuesdays at 14:00 (PERCY G13) and Thursdays at

More information

ASC Topic 718 Accounting Valuation Report. Company ABC, Inc.

ASC Topic 718 Accounting Valuation Report. Company ABC, Inc. ASC Topic 718 Accounting Valuation Report Company ABC, Inc. Monte-Carlo Simulation Valuation of Several Proposed Relative Total Shareholder Return TSR Component Rank Grants And Index Outperform Grants

More information

Short-time-to-expiry expansion for a digital European put option under the CEV model. November 1, 2017

Short-time-to-expiry expansion for a digital European put option under the CEV model. November 1, 2017 Short-time-to-expiry expansion for a digital European put option under the CEV model November 1, 2017 Abstract In this paper I present a short-time-to-expiry asymptotic series expansion for a digital European

More information

Quantitative Risk Management

Quantitative Risk Management Quantitative Risk Management Asset Allocation and Risk Management Martin B. Haugh Department of Industrial Engineering and Operations Research Columbia University Outline Review of Mean-Variance Analysis

More information

Financial Mathematics and Supercomputing

Financial Mathematics and Supercomputing GPU acceleration in early-exercise option valuation Álvaro Leitao and Cornelis W. Oosterlee Financial Mathematics and Supercomputing A Coruña - September 26, 2018 Á. Leitao & Kees Oosterlee SGBM on GPU

More information

IEOR E4703: Monte-Carlo Simulation

IEOR E4703: Monte-Carlo Simulation IEOR E4703: Monte-Carlo Simulation Simulating Stochastic Differential Equations Martin Haugh Department of Industrial Engineering and Operations Research Columbia University Email: martin.b.haugh@gmail.com

More information

Lecture 22: Dynamic Filtering

Lecture 22: Dynamic Filtering ECE 830 Fall 2011 Statistical Signal Processing instructor: R. Nowak Lecture 22: Dynamic Filtering 1 Dynamic Filtering In many applications we want to track a time-varying (dynamic) phenomenon. Example

More information

Strategies for Improving the Efficiency of Monte-Carlo Methods

Strategies for Improving the Efficiency of Monte-Carlo Methods Strategies for Improving the Efficiency of Monte-Carlo Methods Paul J. Atzberger General comments or corrections should be sent to: paulatz@cims.nyu.edu Introduction The Monte-Carlo method is a useful

More information

Algorithmic Trading using Reinforcement Learning augmented with Hidden Markov Model

Algorithmic Trading using Reinforcement Learning augmented with Hidden Markov Model Algorithmic Trading using Reinforcement Learning augmented with Hidden Markov Model Simerjot Kaur (sk3391) Stanford University Abstract This work presents a novel algorithmic trading system based on reinforcement

More information

Lecture 17: More on Markov Decision Processes. Reinforcement learning

Lecture 17: More on Markov Decision Processes. Reinforcement learning Lecture 17: More on Markov Decision Processes. Reinforcement learning Learning a model: maximum likelihood Learning a value function directly Monte Carlo Temporal-difference (TD) learning COMP-424, Lecture

More information

Money, Sticky Wages, and the Great Depression

Money, Sticky Wages, and the Great Depression Money, Sticky Wages, and the Great Depression American Economic Review, 2000 Michael D. Bordo 1 Christopher J. Erceg 2 Charles L. Evans 3 1. Rutgers University, Department of Economics 2. Federal Reserve

More information

Financial Risk Management and Governance Credit Risk Portfolio Management. Prof. Hugues Pirotte

Financial Risk Management and Governance Credit Risk Portfolio Management. Prof. Hugues Pirotte Financial Risk Management and Governance Credit Risk Portfolio Management Prof. Hugues Pirotte 2 Beyond simple estimations Credit risk includes counterparty risk and therefore there is always a residual

More information

Monte Carlo Methods for Uncertainty Quantification

Monte Carlo Methods for Uncertainty Quantification Monte Carlo Methods for Uncertainty Quantification Abdul-Lateef Haji-Ali Based on slides by: Mike Giles Mathematical Institute, University of Oxford Contemporary Numerical Techniques Haji-Ali (Oxford)

More information

The Evaluation of American Compound Option Prices under Stochastic Volatility. Carl Chiarella and Boda Kang

The Evaluation of American Compound Option Prices under Stochastic Volatility. Carl Chiarella and Boda Kang The Evaluation of American Compound Option Prices under Stochastic Volatility Carl Chiarella and Boda Kang School of Finance and Economics University of Technology, Sydney CNR-IMATI Finance Day Wednesday,

More information

American Option Pricing Formula for Uncertain Financial Market

American Option Pricing Formula for Uncertain Financial Market American Option Pricing Formula for Uncertain Financial Market Xiaowei Chen Uncertainty Theory Laboratory, Department of Mathematical Sciences Tsinghua University, Beijing 184, China chenxw7@mailstsinghuaeducn

More information

Integrated structural approach to Counterparty Credit Risk with dependent jumps

Integrated structural approach to Counterparty Credit Risk with dependent jumps 1/29 Integrated structural approach to Counterparty Credit Risk with dependent jumps, Gianluca Fusai, Daniele Marazzina Cass Business School, Università Piemonte Orientale, Politecnico Milano September

More information

A Comparative Study of Various Loss Functions in the Economic Tolerance Design

A Comparative Study of Various Loss Functions in the Economic Tolerance Design A Comarative Study of Various Loss Functions in the Economic Tolerance Design Jeh-Nan Pan Deartment of Statistics National Chen-Kung University, Tainan, Taiwan 700, ROC Jianbiao Pan Deartment of Industrial

More information

Counterparty Risk Modeling for Credit Default Swaps

Counterparty Risk Modeling for Credit Default Swaps Counterparty Risk Modeling for Credit Default Swaps Abhay Subramanian, Avinayan Senthi Velayutham, and Vibhav Bukkapatanam Abstract Standard Credit Default Swap (CDS pricing methods assume that the buyer

More information

A start of Variational Methods for ERGM Ranran Wang, UW

A start of Variational Methods for ERGM Ranran Wang, UW A start of Variational Methods for ERGM Ranran Wang, UW MURI-UCI April 24, 2009 Outline A start of Variational Methods for ERGM [1] Introduction to ERGM Current methods of parameter estimation: MCMCMLE:

More information

IEOR E4703: Monte-Carlo Simulation

IEOR E4703: Monte-Carlo Simulation IEOR E4703: Monte-Carlo Simulation Further Variance Reduction Methods Martin Haugh Department of Industrial Engineering and Operations Research Columbia University Email: martin.b.haugh@gmail.com Outline

More information

ME3620. Theory of Engineering Experimentation. Spring Chapter III. Random Variables and Probability Distributions.

ME3620. Theory of Engineering Experimentation. Spring Chapter III. Random Variables and Probability Distributions. ME3620 Theory of Engineering Experimentation Chapter III. Random Variables and Probability Distributions Chapter III 1 3.2 Random Variables In an experiment, a measurement is usually denoted by a variable

More information

The Values of Information and Solution in Stochastic Programming

The Values of Information and Solution in Stochastic Programming The Values of Information and Solution in Stochastic Programming John R. Birge The University of Chicago Booth School of Business JRBirge ICSP, Bergamo, July 2013 1 Themes The values of information and

More information

Bias Reduction Using the Bootstrap

Bias Reduction Using the Bootstrap Bias Reduction Using the Bootstrap Find f t (i.e., t) so that or E(f t (P, P n ) P) = 0 E(T(P n ) θ(p) + t P) = 0. Change the problem to the sample: whose solution is so the bias-reduced estimate is E(T(P

More information

AD in Monte Carlo for finance

AD in Monte Carlo for finance AD in Monte Carlo for finance Mike Giles giles@comlab.ox.ac.uk Oxford University Computing Laboratory AD & Monte Carlo p. 1/30 Overview overview of computational finance stochastic o.d.e. s Monte Carlo

More information

7 pages 1. Premia 14

7 pages 1. Premia 14 7 pages 1 Premia 14 Calibration of Stochastic Volatility model with Jumps A. Ben Haj Yedder March 1, 1 The evolution process of the Heston model, for the stochastic volatility, and Merton model, for the

More information

Estimating Value at Risk of Portfolio: Skewed-EWMA Forecasting via Copula

Estimating Value at Risk of Portfolio: Skewed-EWMA Forecasting via Copula Estimating Value at Risk of Portfolio: Skewed-EWMA Forecasting via Copula Zudi LU Dept of Maths & Stats Curtin University of Technology (coauthor: Shi LI, PICC Asset Management Co.) Talk outline Why important?

More information

Composite Analysis of Phase Resolved Partial Discharge Patterns using Statistical Techniques

Composite Analysis of Phase Resolved Partial Discharge Patterns using Statistical Techniques Vol. 3, Issue. 4, Jul - Aug. 2013 pp-1947-1457 ISS: 2249-6645 Composite Analysis of Phase Resolved Partial Discharge Patterns using Statistical Techniques Yogesh R. Chaudhari 1, amrata R. Bhosale 2, Priyanka

More information

Capital allocation: a guided tour

Capital allocation: a guided tour Capital allocation: a guided tour Andreas Tsanakas Cass Business School, City University London K. U. Leuven, 21 November 2013 2 Motivation What does it mean to allocate capital? A notional exercise Is

More information

UNIVERSITY OF OSLO. Please make sure that your copy of the problem set is complete before you attempt to answer anything.

UNIVERSITY OF OSLO. Please make sure that your copy of the problem set is complete before you attempt to answer anything. UNIVERSITY OF OSLO Faculty of Mathematics and Natural Sciences Examination in: STK4540 Non-Life Insurance Mathematics Day of examination: Wednesday, December 4th, 2013 Examination hours: 14.30 17.30 This

More information

4 Reinforcement Learning Basic Algorithms

4 Reinforcement Learning Basic Algorithms Learning in Complex Systems Spring 2011 Lecture Notes Nahum Shimkin 4 Reinforcement Learning Basic Algorithms 4.1 Introduction RL methods essentially deal with the solution of (optimal) control problems

More information

Pricing CDOs with the Fourier Transform Method. Chien-Han Tseng Department of Finance National Taiwan University

Pricing CDOs with the Fourier Transform Method. Chien-Han Tseng Department of Finance National Taiwan University Pricing CDOs with the Fourier Transform Method Chien-Han Tseng Department of Finance National Taiwan University Contents Introduction. Introduction. Organization of This Thesis Literature Review. The Merton

More information

Chapter 6. Importance sampling. 6.1 The basics

Chapter 6. Importance sampling. 6.1 The basics Chapter 6 Importance sampling 6.1 The basics To movtivate our discussion consider the following situation. We want to use Monte Carlo to compute µ E[X]. There is an event E such that P(E) is small but

More information

Design of a Financial Application Driven Multivariate Gaussian Random Number Generator for an FPGA

Design of a Financial Application Driven Multivariate Gaussian Random Number Generator for an FPGA Design of a Financial Application Driven Multivariate Gaussian Random Number Generator for an FPGA Chalermpol Saiprasert, Christos-Savvas Bouganis and George A. Constantinides Department of Electrical

More information

IEOR E4703: Monte-Carlo Simulation

IEOR E4703: Monte-Carlo Simulation IEOR E4703: Monte-Carlo Simulation Other Miscellaneous Topics and Applications of Monte-Carlo Martin Haugh Department of Industrial Engineering and Operations Research Columbia University Email: martin.b.haugh@gmail.com

More information

Modeling of Price. Ximing Wu Texas A&M University

Modeling of Price. Ximing Wu Texas A&M University Modeling of Price Ximing Wu Texas A&M University As revenue is given by price times yield, farmers income risk comes from risk in yield and output price. Their net profit also depends on input price, but

More information