-
Open Access Article
1 - Effect of long-rang interactions on the Kosterlitz-Thouless transition
Yazid Benbouzid Slimane Chala Mostefa Maache -
Open Access Article
2 - Classical and Bayesian inference based on progressive type-II hybrid censored data from the Poisson-Exponential distribution
masoumeh mohammadi monfared Mohammad Hassan Behzadi reza arabi belaghiIn this paper, the problem of estimating unknown parameters is investigated when lifetime data following Poisson-exponential distribution under classical and Bayesian frameworks based on progressively type-II hybrid censored data. We compute point and associated interva MoreIn this paper, the problem of estimating unknown parameters is investigated when lifetime data following Poisson-exponential distribution under classical and Bayesian frameworks based on progressively type-II hybrid censored data. We compute point and associated interval estimates under classical and Bayesian approaches. For point estimates in the problem of estimation, we compute maximum likelihood estimators of model using Expectation-Maximization (EM) and Stochastic Expectation-Maximization (SEM) algorithms under classical approach, these algorithms are easily implemented. We compute Bayes estimates with the help of Lindley and importance sampling technique under informative and non-informative priors using different loss functions namely squared error, LINEX as well as general entropy in Bayesian framework. The associated interval estimates are obtained using the Fisher information matrix and Chen and Shao method respectively under classical and Bayesian approaches. We analysis real data set, and conduct Monte Carlo simulation study for the comparison of various proposed methods. Finally, we present a conclusion. Manuscript profile -
Open Access Article
3 - Utilizing Monte Carlo Method for Ranking Extreme Efficient Units in Data Envelopment Analysis
Gh-R .Jahanshahloo M. Zahedi-SereshtData envelopment analysis (DEA) is a mathematical programming method for calculatingefficiency of decision making units (DMU). In calculating the efficiency score of unitsthrough DEA we may come up with some efficient units. But the question is among theseefficient unit MoreData envelopment analysis (DEA) is a mathematical programming method for calculatingefficiency of decision making units (DMU). In calculating the efficiency score of unitsthrough DEA we may come up with some efficient units. But the question is among theseefficient units which of them is better. As we know, it is possible to rank inefficient unitsthrough efficiency score; however, for ranking efficient units it is not helpful and othermethods should be developed in these regards. To obviate this problem there have been somany attempts in the literature which have their pros and cons. Cross-efficiency method wasfirst introduced by Sexon et al. for ranking efficient units. The major problem of this methodis alternative optimal solutions in each model which must be solved for each DMU. Anotherproblem of this method is dependency of obtained solutions on the solution obtained by otherunits. Another method which has widely been used is super efficiency, presented byAnderson and Petersen. There are several flaws in their suggested method. Infeasibility,instability, dependency of the model on the input and output orientation and non-zero slackvariables are the weaknesses of this method which may occur in specific problems. Thisarticle is an attempt to present a method which does not have the aforementioned problemsand can be utilized to calculate the rank of extreme efficient units through using the Hit orMiss Monte Carlo method. At the end of the article some examples are made in order to showthe efficiency of the presented method. Manuscript profile -
Open Access Article
4 - Combined Application of State Space in ARIMA Form Model and Monte Carlo Simulation Method to Forecast TEPIX Index
Aghigh Farhadi Farhad GhaffariIn this study, we estimated the parameters using the State Space model described inARIMA form. We’ve also used the Monte Carlo Method for simulating the process in10000 reputations. Then the estimated parameters and the Monte Carlo simulationmethod are used to for MoreIn this study, we estimated the parameters using the State Space model described inARIMA form. We’ve also used the Monte Carlo Method for simulating the process in10000 reputations. Then the estimated parameters and the Monte Carlo simulationmethod are used to forecast TEPIX index, including 739 observations as an in-sampledata from 21th of January 2011 to 19th February 2014 and 59 observations from 20thFebruary 2014 to 21th May 2014 as an out of sample data . Furthermore, For moreinvestigation we’ve considered different horizons of forecasting, short-term (equal to 1week), mid-term (equal to 1 month) and long term (equal to 3 month). The results showedthat Tehran stock market data has enough efficiency to forecast them, and showed that theState Space in Form ARIMA model and the Monte Carlo simulation method can be usedas a predictive algorithm for TEPIX index and other indices with similar nature. Manuscript profile -
Open Access Article
5 - Sensing of Methanol and Ethanol with Nano-Structured SnO2 (110) in Gas Phase: Monte Carlo Simulation
N. Mangkorntong L. Mahdavian F. Mollaamin M. Monajjemi -
Open Access Article
6 - Gyration Radius and Energy Study at Different Temperatures for Acetylcholine Receptor Protein in Gas Phase by Monte Carlo, Molecular and Langevin Dynamics Simulations
M. Monajjemi A. R. Oliaey -
Open Access Article
7 - Physical adsorption between mono and diatomic gases inside of Carbon nanotube with respect to potential energy
B. Esfandiari M. Monajjemi -
Open Access Article
8 - Portfolio VaR Modelling using EVT-Pair-Copulas Approach
Ali Souri Saeed Falahpor Ali Foroush Bastani Ehsan AhmadiThe purpose of this research is to model Value-at-Risk (VaR) of portfolio with EVT-Pair-Copulas approach. In the financial literature, a significant amount of empirical studies have been done on the characteristics of financial assets returns and researchers have found MoreThe purpose of this research is to model Value-at-Risk (VaR) of portfolio with EVT-Pair-Copulas approach. In the financial literature, a significant amount of empirical studies have been done on the characteristics of financial assets returns and researchers have found a set of stylized facts about this subject. In this regard leptokurtic, left-skewed, weak autocorrelation, volatility clustering, and heteroscedasticity can be mentioned. Any estimation of risk without considering these characteristics or using unrealistic assumptions about financial assets returns increases the probability of failure in the risk management process. For this purpose, at first, the marginal distributions of returns are obtained using extreme value theory (EVT). Concerning characteristics of financial assets returns and also the primary filter to apply EVT, we use heteroscedasticity models for the marginal distributions of assets. Then the structure of the dependence between different stocks is estimated by using C-Vine, D-Vine, and R-Vine pair copula models. Afterward, the VaR of portfolio is estimated using the Monte Carlo simulation method. The final results show that the model with GARCH marginal distribution and R-Vine pair copula has been able to achieve the best performance among rival models at 95% confidence level. Manuscript profile -
Open Access Article
9 - Installment Option Valuation by Least Squares with Checking the Solution Convergence
Hamed Hamedinia Mahdi RezyatiAn installment option is a European option in which the holder pays the option as a series of payments instead of paying all up-front. If all payments pay, the holder will be able to exercise the option at maturity time. However, the installment option will be terminate MoreAn installment option is a European option in which the holder pays the option as a series of payments instead of paying all up-front. If all payments pay, the holder will be able to exercise the option at maturity time. However, the installment option will be terminated even if one installment is not paid. This study is divided into two sections. First, the importance of installment option is studied; the relationship between installment option and Venture Capital is explained; and it is studied how BLS model is failed to evaluate the installment option. As the exact evaluation of installment option is extremely complicated and usually intractable, Monte Carlo simulation and Least Squares (LS) have been applied to evaluate installment option. Second, the three optimum values, function type, number of base variables and number of simulated path, as important factors on this method are calculated. So, numerical valuation converges to exact solution. Manuscript profile -
Open Access Article
10 - The Evaluation of Venture Capital as an Installment Option and Real Options
Ali Foroush Bastani Hamed Hamedi NiaThe evaluation of VC projects (companies) is very important because the present value of them defines the proportion of Entrepreneur’s profit from all future profit of that project (company). In this article, VC projects have been evaluated by using Real Options a MoreThe evaluation of VC projects (companies) is very important because the present value of them defines the proportion of Entrepreneur’s profit from all future profit of that project (company). In this article, VC projects have been evaluated by using Real Options and Installment Option. In order to doing that, the lower and upper bounds based on “No-Arbitrage” condition are obtained for pricing installment option in both discrete and continuous time. These bounds have been used for pricing Venture Capital projects. With simulation of stock price by Monte Carlo, they have been compared with DTS bounds (the bounds obtained by other authors). Results reveal the bounds in the present study are more effective than DTS bounds. For more confidence, the Bounds have been compared with Monte Carlo simulation based on Least Square approach (we have changed that approach to be used in the evaluation of Installment Option); as expected, they have confirmed each other. Manuscript profile -
Open Access Article
11 - Investment Project Valuation Using Real Option Approach(The Case of a 500 MV Power Generation Plant)
Mortaza Baky Haskuee Rojin DavoodiDynamic and complicated circumstances of economic activities, and consequently increase in risks require an efficient analytical method of investment and financing decision making in which does not suffer from traditional methods shortcoming such as stationarity. Real o MoreDynamic and complicated circumstances of economic activities, and consequently increase in risks require an efficient analytical method of investment and financing decision making in which does not suffer from traditional methods shortcoming such as stationarity. Real option analysis developed in response to this requirement.This paper provides a framework to study advantage of using real option theory in evaluating power generation projects in comparison to traditional methods. First, it uses abandon option and its different real option pricing methods, then compares to traditional methods. To compare traditional and real option methods, it uses Monte Carlo simulation.The results show that real option pricing methods do not differ significantly, because when time steps increase, option value increases and all methods converge. Monte Carlo simulation results show that in real option methods risk decreases and return increases in comparison to traditional methods. Manuscript profile -
Open Access Article
12 - برآورد پارامترهای توزیع بر نوع 12 بسط یافته با استفاده از اصل بیشینه سازی انتروپی با بر پایه ی مقادیر رکورد k
مهدی رجایی سلماسیدر این مقاله روش جدیدی برای تخمین پارامترهای توزیع بر نوع 12 بسط یافته با استفاده از اصل بیشینه سازی انتروپی بر پایه ی مقادیر رکورد k به کار گرفته شده است. از شبیه سازی مونت کارلو برای ارزیابی عملکرد این روش و مقایسه آن با روشهای شناخته شده دیگر استفاده شده است. نتایج ش Moreدر این مقاله روش جدیدی برای تخمین پارامترهای توزیع بر نوع 12 بسط یافته با استفاده از اصل بیشینه سازی انتروپی بر پایه ی مقادیر رکورد k به کار گرفته شده است. از شبیه سازی مونت کارلو برای ارزیابی عملکرد این روش و مقایسه آن با روشهای شناخته شده دیگر استفاده شده است. نتایج شیبیه سازی نشان دادند که روش اصل بیشینه سازی انتروپی عملکرد بهتری داشته است. Manuscript profile -
Open Access Article
13 - Variance analysis of control variate technique and applications in Asian option pricing
B. Fathi ‎Vajargah‎ A. Salimipour‎ S. Salahshour‎ -
Open Access Article
14 - Evaluating Quasi-Monte Carlo (QMC) algorithms in blocks decomposition of de-trended
K. Fathi Vajargah -
Open Access Article
15 - Transient Nonlinear Vibration of Randomly Excited Cylindrical Shallow Panels in Non Aging Viscous Medium
A Asnafi -
Open Access Article
16 - Stock Option Pricing by Augmented Monte-Carlo Simulation models
Jalal Seifoddini -
Open Access Article
17 - Oil Price estimating Under Dynamic Economic Models Using Markov Chain Monte Carlo Simulation Approach
Kianoush Fathi Vajargah Hossein Eslami Mofid Abadi Ebrahim Abbasi -
Open Access Article
18 - Optimization of estimates and comparison of their efficiency under stochastic methods and its application in financial models
Kianoush Fathi vajargah Hamid Mottaghi Golshan Abbas Arjomandfar -
Open Access Article
19 - Present an algorithm based on Gert method and Monte Carlo simulation to manage and control The research and development projects (Case study: Model airplane)
Amir Afsar Seyed Jalal ZiaeiGiven the growing importance of project management and control issues and the benefits of choosing the right management method according to the specific type of project, The purpose of this study is to provide an appropriate method for planning and managing research and MoreGiven the growing importance of project management and control issues and the benefits of choosing the right management method according to the specific type of project, The purpose of this study is to provide an appropriate method for planning and managing research and development projects. Uncertainty of activities and time required to complete each project activity, requires the project manager to use techniques appropriate to the specific nature of the project under review. In this paper, by describing the probabilistic project of constructing a model airplane according to the probabilistic conditions, a suitable algorithm based on Gert method and Monte Carlo simulation is presented in such a way that as a result the project manager can analyze the basic components from the output of the algorithm and estimate random variables such as the expected time of project completion and the average cost of completing project activities and extract the desired results to better manage and control the project. In order to provide a better understanding of the proposed algorithm, the results of using the algorithm to plan and manage the model aircraft construction project will be reviewed and explained and As a result, the expected time and cost of the project is extracted within a 95% confidence interval. Manuscript profile -
Open Access Article
20 - Monte Carlo Simulation to Compare Markovian and Neural Network Models for Reliability Assessment in Multiple AGV Manufacturing System
Hamed Fazlollahtabar Mohamma Saidi-Mehrabad -
Open Access Article
21 - A New Dynamic Random Fuzzy DEA Model to Predict Performance of Decision Making Units
Ali Yaghoubi Maghsoud Amiri Azamdokht Safi Samghabadi -
Open Access Article
22 - برنامه ریزی بهینه واحد تعهد با توجه به عدم قطعیت باد با استفاده از الگوریتم جستجو فاخته
Saniya Maghsudlu sirus mohammadiدر این مقاله، یک روش جدید برای بررسی نقش واحدهای باد به عنوان یک تولید کننده انرژی در برنامه ریزی مشکل تعهد واحد ارائه شده است. امروزه، منابع انرژی تجدید پذیر به علت عدم آلودگی محیط زیست، و در نتیجه هزینه های حاشیه ای بسیار کم، در سیستم قدرت خیلی مورد توجه قرار گر Moreدر این مقاله، یک روش جدید برای بررسی نقش واحدهای باد به عنوان یک تولید کننده انرژی در برنامه ریزی مشکل تعهد واحد ارائه شده است. امروزه، منابع انرژی تجدید پذیر به علت عدم آلودگی محیط زیست، و در نتیجه هزینه های حاشیه ای بسیار کم، در سیستم قدرت خیلی مورد توجه قرار گرفتند. اما این منابع با عدم اطمینان همراه هستند، حل مشکل تعهد واحد به عنوان یک بهینه سازی سیستم برنامه قدرت سنتی مطرح شده است که تلاش میکند با تعیین واحد های ورود و خروج مطلوب و تولید بهینه در هر واحد کل هزینه تولید را به حداقل رساند. سپس، در این مطالعه با استفاده از یک الگوریتم تکرار شونده به طور تصادفی با تخصیص توابع چگالی متناسب با سرعت باد، عدم اطمینان از واحد باد تولید شده است در برنامه تعهد واحد . تجزیه و تحلیل UC با نیروی باد به منظور به حداقل رساندن هزینه کل سیستم انجام می شود. در این مقاله برای رسیدن به راه حل بهینه، یک الگوریتم جستجوکاکو فرا ابتکاری (CS) با سرعت همگرایی بالا استفاده می شود تا مشکل تعهد واحد با توجه IEEE سیستم تست 10 واحد استاندارد را حل کند. نتایج شبیه سازی کارآمدی روش پیشنهادی را برای کاهش هزینه های تولید و بهبود سودها نشان میدهد. Manuscript profile -
Open Access Article
23 - Presenting a Hybrid Method to Increase Lifetime of Wireless Sensor Networks Using Effective Determination of Operating Mode of Sensors in Regional Coverage
Javad Aramideh Homayun Motameni -
Open Access Article
24 - Distribution network design under demand uncertainty using genetic algorithm and Monte Carlo simulation approach: a case study in pharmaceutical industry
Arman Izadi Ali mohammad Kimiagari -
Open Access Article
25 - Distribution network design under demand uncertainty using genetic algorithm and Monte Carlo simulation approach: a case study in pharmaceutical industry
Arman Izadi Ali Mohammad Kimiagari -
Open Access Article
26 - Quantitative risk management in gas injection project: a case study from Oman oil and gas industry
Mohammad Miftaur Rahman Khan Khadem Sujan Piya Ahm Shamsuzzoha -
Open Access Article
27 - A new approach for constraining failure probability of a critical deteriorating system Yard crane scheduling in port container terminals using genetic algorithm
H Babaei K Shahanaghi A Bakhsha -
Open Access Article
28 - Failure Probability of Damaged RC Frame under Fire Using Markov Chain.
MohammadJavad Goodarzi Hamidreza Tavakoli syyed milad hasheminejad alireza mohseni saravi majid moradi -
Open Access Article
29 - رفتار فازی و ویژگی های اختلاط نانوساختارهای مواد فعال سطحی دوقلوی متقارن با نظریه quasichemical
زهرا خدادادیبررسی نظری رفتار نانو ساختار سورفاکتانتبررسی نظری رفتار نانو ساختار سورفاکتانت Manuscript profile -
Open Access Article
30 - Value at Risk Assessment in Tehran Stock Exchange using Non-parametric and parametric Approaches
ebrahim ghanbari memeshi seyed ali nabavi chashmi erfan memarianThe purpose of this study is to evaluate the value at risk of stock indexes based on parametric and nonparametric approaches in Tehran Stock Exchange. In this regard, the Tehran Stock Exchange (TEPIX) index was used as a representative of market portfolios and daily dat MoreThe purpose of this study is to evaluate the value at risk of stock indexes based on parametric and nonparametric approaches in Tehran Stock Exchange. In this regard, the Tehran Stock Exchange (TEPIX) index was used as a representative of market portfolios and daily data for the period 13/10/2009-12/11/2019. In this study, first, the results of estimating the value at risk using two models of exponentially weighted Moving Average (EWMA) and Monte Carlo simulation (MC) are presented. The performance tests of these models are then compared with other models including GARCH and historical simulation models. The estimation results of these models were obtained using Eviews 10 and Matlab 2018 software. The results show that the exponential moving average (EWMA) model is more efficient and more accurate than other models. The results also show that based on violation ratio and Back Tests, non-parametric models such as Monte Carlo simulation have overestimated the value at risk . Manuscript profile -
Open Access Article
31 - Adequacy studies of different renewable resources using Monte Carlo simulation method
Amir Ghaedi Reza Sedaghati Mehrdad MahmoudianProduced power of wind, solar, run of the river, ocean thermal, tidal and wave power plants is respectively, dependent on wind velocity, sun radiation, river flow, temperature of ocean upstream, period & height of waves, tidal level or tidal stream velocity. Due to wide MoreProduced power of wind, solar, run of the river, ocean thermal, tidal and wave power plants is respectively, dependent on wind velocity, sun radiation, river flow, temperature of ocean upstream, period & height of waves, tidal level or tidal stream velocity. Due to wide change in these quantities, produced power of these renewable resources changes a lot over time. As the penetration level of renewable resources in electric network is increased, reliability and other aspects of electric network may be affected that should be studied. Analytical method is not suitable to study uncertainties of output power of renewable resources in reliability analysis of electric network with these renewable power plants. Thus, the current research suggests Monte Carlo simulation method to study effect of renewable power plants on reliability indices. Renewable power plants studied in the research are wind turbines, solar farms, wave energy converters, run of the river power plants, both types of tidal units, and ocean thermal energy conversion systems. Numerical studies are performed on test electric networks, to study these renewable resources impact on reliability indices of electric networks with renewable power plants. It is concluded from numerical outcomes that these renewable power plants improve reliability performance of electric network. However, due to the variation of renewable resources, the impact of renewable power plants on reliability performance of the electric network is less than the conventional units with the same capacity. Manuscript profile -
Open Access Article
32 - Loss of Load Expectation Assessment in Deregulated Power Systems Using Monte Carlo Simulation and Intelligent Systems
H Haroonabadi M.-R Haghifam -
Open Access Article
33 - Stochastic Congestion Alleviation with a Trade-off between Demand Response Resources and Load Shedding
Abbas Tabandeh Amir Abdollahi Masoud Rashidinejad -
Open Access Article
34 - Selection of the optimal method in calculating the value at risk of investment fund
Ali Najafi moghadamDuring the past several years experience extraordinary explosion of collective investment organisms or of investment companies (who buys the shares of other companies), led to the agencies responsible for controlling and monitoring these investments are a The series is MoreDuring the past several years experience extraordinary explosion of collective investment organisms or of investment companies (who buys the shares of other companies), led to the agencies responsible for controlling and monitoring these investments are a The series is based on Value at Risk management guidelines apply. But the flexibility that many questions regarding the accurate and appropriate estimation model provokes. The purpose of this article Choose from three parametric method, historical simulation and Monte Carlo Simulation is the best way to predict the possible losses if the investment fund files open Tunisians find. For this purpose, different methods of estimating VaR propose. The descriptive statistical characteristics of 14 cases we analyzed combined investment fund. Then we present the results of experimental studies, so we can take advantage of Monte Carlo simulation method to predict the potential value of the company's chief of investor Tunisian specify. Manuscript profile -
Open Access Article
35 - Estimating the probability of Loss of Credit Portfolio using the sharp asymptotic method and Latent variable model
Mohammad reza Haddadi Reza Maaboudi Saeedeh FallahyanThe purpose of the study is to obtain a probability of a very high loss for a credit portfolio in a fixed time horizon and to calculate the loss of this portfolio in the worst possible case (the defaults of all customers). For this purpose, the Copula function approach MoreThe purpose of the study is to obtain a probability of a very high loss for a credit portfolio in a fixed time horizon and to calculate the loss of this portfolio in the worst possible case (the defaults of all customers). For this purpose, the Copula function approach is used. A Copula function is a new tool that increases the accuracy of the calculation of this probability. Gaussian Copulas cannot simulate the dependence between the members of the portfolio. For this reason, the T- Copula method has been used as an alternative model in this paper. The T-Copula pattern, in contrast to the normal Copula method, supports the extreme dependence between variables. The structure of a multivariate distribution t is the ratio of a multivariate normal distribution on the second root of a Chi-square random variable. If the denominator of the distribution chooses values close to zero, then the corresponding vector coordinates of the random variables are distributed t , Can record large joint movements. The Chi-square random variable plays "common shock" roles. The present study, using the hidden variables method, has calculated the probable unpredictability of loss for a heterogeneous portfolio of given facilities consisting of 250 borrowers. For this purpose, based on the type of borrowed loans, borrowers are divided into three groups. Using the Monte Carlo simulation method, the probability of a loss in this portfolio is estimated, then the residue levels in each group of agents and the total amount of exposure are calculated. The findings showed that, considering the degree of freedom 2 for the distribution of the student's t-test related to the vector of hidden variables, the maximum probability of loss of credit portfolio Has been 11.01. Manuscript profile -
Open Access Article
36 - The Lindley-Lindley Distribution: Characterizations, Copula, Properties, Bayesian and Non-Bayesian Estimation
Christophe Chesneau Haitham Yousof G. Hamedani Mohamed Ibrahim -
Open Access Article
37 - Ranking Bank Branches with Interval Data By IAHP and TOPSIS
Tayebeh Rezaeitaziania Mahnaz Barkhordariahmadi
Sanad
Sanad is a platform for managing Azad University publications
Links
Related Centers
Technical Support
Official pages
The rights to this website are owned by the Raimag Press Management System.
Copyright © 2021-2024