We propose a new ‘hedged’ Monte-Carlo (HMC) method to price financial derivatives, which allows to determine simultaneously the optimal hedge. The inclusion of the optimal hedging strategy allows one to reduce the financial risk associated with option trading, and for the very same reason...

For a decade, a new theoretical movement called “econophysics” has been initiated by some physicists who began to publish articles devoted to the study of economic and financial phenomena. Since then, econophysicists have written a very prolific literature about the way of characterizing the...

We present a numerical study of the evolution of a wave packet in a nanoscale MOSFET featuring an ‘atomistic’ channel doping. Our two-dimensional Monte Carlo Wigner simulation results are compared against classical Boltzmann simulation results. We show that the quantum effects due to the...

We study the evolution of a Gaussian wave packet in the presence of the ordered and disordered arrays of dopants, described by means of Coulombic potentials. As a first step, we investigate the dynamics of the packet in three different ordered configurations consisting of two, three and...

We propose a new cluster algorithm for the Baxter–Wu model that significantly reduces critical slowing down. We examine the behavior of the created clusters as we vary the temperature and then specify dynamic exponents. Comparison is made with the Metropolis algorithm and with the other...

Random Boolean networks are among the best-known systems used to model genetic networks. They show an on–off dynamics and it is easy to obtain analytical results with them. Unfortunately very few genes are strictly on–off switched. On the other hand, continuous methods are in principle more...

In this article, we give a brief informal introduction to Malliavin Calculus for newcomers. We apply these ideas to the simulation of Greeks in Finance. First to European-type options where formulas can be computed explicitly and therefore can serve as testing ground. Later, we study the case of...

The stochastic-agent-on-tree method for business valuation is proposed by applying the game theory to the agent-based model. The proposed method is reduced to the real option valuation method using approximations. Demand forecasting and business valuation for computer-related industries are...