Hamiltonian Flow Simulation of Rare Events

Raphael Douady () and Shohruh Miryusupov ()
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Shohruh Miryusupov: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique

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Abstract: Hamiltonian Flow Monte Carlo(HFMC) methods have been implemented in engineering, biology and chemistry. HFMC makes large gradient based steps to rapidly explore the state space. The application of the Hamiltonian dynamics allows to estimate rare events and sample from target distributions defined as the change of measures. The estimates demonstrated a variance reduction of the presented algorithm and its efficiency with respect to a standard Monte Carlo and interacting particle based system(IPS). We tested the algorithm on the case of the barrier option pricing.

Keywords: Hamiltonian Flow Monte Carlo; Particle Monte Carlo; Sequential Monte Carlo; Monte Carlo; rare events; option pricing; diffusion dynamics; Hamiltonian system (search for similar items in EconPapers)
Date: 2017
New Economics Papers: this item is included in nep-cmp
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Working Paper: Hamiltonian Flow Simulation of Rare Events (2017)
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