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Monte Carlo method
(redirected from Monte-Carlo method)

   Also found in: Medical, Encyclopedia, Wikipedia 0.03 sec.
Monte Carlo method
n
(Mathematics & Measurements / Statistics) a heuristic mathematical technique for evaluation or estimation of intractable problems by probabilistic simulation and sampling
[named after the casino at Monte Carlo, where systems for winning at roulette, etc., are often tried]


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He begins by examining the general discrete inverse problem, including defining the solution, and proceeds to Monte-Carlo methods in finding solutions.
His research interests within the field of mathematical finance include the LIBOR Market Model, Efficient Calculation of Risk Measures with Monte-Carlo Methods, Pricing of Bermudan Options with Monte-Carlo Methods, and Markov Functional Models.
Comparison studies between the Monte-Carlo method and the diffusion equation show an equivalency in the two methods for depths greater than 3 mm.
 
 
 
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