Credit risk of interest rate swaps : a comparative study of CIR and Monte Carlo simulation approach

This paper compares the credit risk profile for two types of model, the Monte Carlo model used in the existing literature, and the Cox, Ingersoll and Ross (CIR) model. Each of the profiles has a concave or hump-backed shape, reflecting the amortisation and diffusion effects. However, the CIR model generates significantly different results. In addition, we consider the sensitivity of these models of credit risk to initial interest rates, volatility, maturity, kappa and delta. The results show that the sensitivities vary across the models, and we explore the meaning of that variation.

C-H center dot center dot center dot O and N-H center dot center dot center dot O hydrogen bonds in liquid amides investigated by Monte Carlo simulation

Monte Carlo simulations of liquid formamide, N-methylformamide (MF), and N,N-dimethylformamide (DMF) have been performed in the isothermal and isobaric ensemble at 298 K and 1 atm, aiming to investigate the C-H ... O and N-H ... O hydrogen bonds. The interaction energy was calculated using the classical 6-12 Lennard-Jones pairwise potential plus a Coulomb term on a rigid six-site molecular model with the potential parameters being optimized in this work. Theoretical values obtained for heat of vaporization and liquid densities are in good agreement with the experimental data. The radial distribution function [RDF, g(r)] obtained compare well with R-X diffraction data available. The RDF and molecular mechanics (MM2) minimization show that the C-H ... O interaction has a significant role in the structure of the three liquids. These results are supported by ab initio calculations. This Interaction is particularly important in the structure of MF. The intensity of the N-H ... O hydrogen bond is greater in the MF than formamide. This could explain some anomalous properties verified in MF. (C) 1997 John Wiley & Sons, Inc.

MONTE-CARLO SIMULATION OF POLYAMPHOLYTE CHAINS

Polyampholyte copolymers containing both positive and negative monomers regularly dispersed along the chain were studied. The Monte Carlo method was used to simulate chains with charged monomers interacting by screened Coulomb potential. The neutral polyampholyte chains collapse due to the attractive electrostatic interactions. The nonneutral chains are in extended conformations due to the repulsive polyelectrolyte effects that dominate the attractive polyampholyte interactions. The results are in good agreement with experiment.

C - H ⋯ 0 and N - H ⋯ 0 hydrogen bonds in liquid amides investigated by monte carlo simulation

Monte Carlo simulations of liquid formamide, N-methylformamide (MF), and N, N-dimethytformamide (DMF) have been performed in the isothermal and isobaric ensemble at 298 K and 1 atm, aiming to investigate the C-H ⋯ O and N-H ⋯ O hydrogen bonds. The interaction energy was calculated using the classical 6-12 Lennard-Jones pairwise potential plus a Coulomb term on a rigid six-site molecular model with the potential parameters being optimized in this work. Theoretical values obtained for heat of vaporization and liquid densities are in good agreement with the experimental data. The radial distribution function [RDF, g(r)] obtained compare well with R-X diffraction data available. The RDF and molecular mechanics (MM2) minimization show that the C-H ⋯ O interaction has a significant role in the structure of the three liquids. These results are supported by ab initio calculations. This interaction is particularly important in the structure of MF. The intensity of the N - H ⋯ O hydrogen bond is greater in the MF than formamide. This could explain some anomalous properties verified in MF. © 1997 John Wiley & Sons, Inc.

Monte Carlo simulation applied in total reflection X-ray fluorescence: Preliminary results

The X-ray Fluorescence (XRF) analysis is a technique for the qualitative and quantitative determination of chemical constituents in a sample. This method is based on detection of the characteristic radiation intensities emitted by the elements of the sample, when properly excited. A variant of this technique is the Total Reflection X-ray Fluorescence (TXRF) that utilizes electromagnetic radiation as excitation source. In total reflection of X-ray, the angle of refraction of the incident beam tends to zero and the refracted beam is tangent to the sample support interface. Thus, there is a minimum angle of incidence at which no refracted beam exists and all incident radiation undergoes total reflection. In this study, we evaluated the influence of the energy variation of the beam of incident x-rays, using the MCNPX code (Monte Carlo NParticle) based on Monte Carlo method. © 2013 AIP Publishing LLC.

Monte Carlo simulation of water-tetrahydrofuran mixtures

Monte Carlo simulations of water-tetrahydrofuran (THF) mixtures were performed in the isothermal-isobaric ensemble (NPT) at T = 298 K and p = 1 atm. The interaction energy was calculated using the TIP4P model for water and a five-site united atom representation for the THF molecule. The potential energy surfaces for water-THF interactions were obtained by using combining rules and the original potential functions used for pure liquids. Theoretical values obtained for the average interaction energy as a function of concentration are in good agreement with available experimental data. Results from the partitioning of the total interaction energy into water-water, water-THF and THF-THF contributions are presented. These results are useful to distinguish between the quantitative contributions of these molecular interactions to the energetic behavior of the water-THF mixing process. The radial distribution functions for HW-OTHF and OW-OTHF site-site interactions show the salient features of hydrogen-bonded liquids. Comparison of the average number of water-water complexes interacting through hydrogen bonding in water-THF and water-methanol mixtures shows an enhancement of the water-water coordination number in a THF rich environment. © 1995.

Monte Carlo simulation of the WENDI-2 neutron dosimeter

Il presente lavoro di tesi, sviluppato nell’arco di sei mesi presso l’Institut Supérieur Industriel de Bruxelles (ISIB) in collaborazione con Ion Beam Application Group (IBA, Louvain la Neuve), ha come principale soggetto lo studio della risposta del rem meter WENDI-2 commercializzato da Thermo Scientific. Lo studio si è basato principalmente sull’uso del codice Monte Carlo MCNPX 2.5.0, simulando la risposta del detector sia in caso di campi di radiazione neutronica monoenergetici sia in corrispondenza di spettri neutronici continui. La prima fase è stata dedicata alla modellizzazione MCNPX del rem counter, consentendo così la valutazione della sua funzione risposta. Questa è stata ricostruita interpolando 93 punti, ciascuno calcolato in corrispondenza di un singolo valore di energia di una sorgente puntiforme, compreso tra 1 meV e 5 GeV. In tal caso è stata rilevata un’ottima corrispondenza tra i risultati ottenuti e quelli riportati nella letteratura scientifica esistente. In una seconda fase, al fine di ottenere informazioni sulla risposta di WENDI II in corrispondenza di campi complessi di radiazione, simulazioni MCNPX sono state realizzate riproducendo un ambiente di lavoro esistente presso la sede IBA di Louvain la Neuve: la risposta del detector è stata valutata in corrispondenza di 9 diverse posizioni all’interno di un bunker contenente un ciclotrone PET (18 MeV H-), implicando la rilevazione di campi di radiazione neutronica continui ed estesi dalle energie termiche fino a 18 MeV. I risultati ottenuti sono stati infine comparati con i valori di dose ambiente equivalente calcolata nelle stesse condizioni di irraggiamento.

Monte-Carlo simulation of hard spherocylinders under confinement

When a liquid crystal is confined to a cavity its director field becomes subject to competing forces: on the one hand, the surface of the cavity orients the director field (``surface anchoring''), on the other hand deformations of the director field cost elastic energy. Hence the equilibrium director field is determined by a compromise between surface anchoring and elasticity. One example of a confined liquid crystal that has attracted particular interest from physicists is the nematic droplet. In this thesis a system of hard rods is considered as the simplest model for nematic liquid crystals consisting of elongated molecules. First, systems of hard spherocylinders in a spherical geometry are investigated by means of canonical Monte Carlo simulations. In contrast to previous simulation work on this problem, a continuum model is used. In particular, the effects of ordering near hard curved walls are studied for the low-density regime. With increasing density, first a uniaxial surface film forms and then a biaxial surface film, which eventually fills the entire cavity. We study how the surface order, the adsorption and the shape of the director field depend on the curvature of the wall. We find that orientational ordering at a curved wall in a cavity is stronger than at a flat wall, while adsorption is weaker. For densities above the isotropic-nematic transition, we always find bipolar configurations. As a next step, an extension of the Asakura-Oosawa-Vrij model for colloid-polymer mixtures to anisotropic colloids is considered. By means of computer simulations we study how droplets of hard, rod-like particles optimize their shape and structure under the influence of the osmotic compression caused by the presence of spherical particles that act as depletion agents. At sufficiently high osmotic pressures the rods that make up the drops spontaneously align to turn them into uniaxial nematic liquid crystalline droplets. The nematic droplets or ``tactoids'' that so form are not spherical but elongated, resulting from the competition between the anisotropic surface tension and the elastic deformation of the director field. In agreement with recent theoretical predictions we find that sufficiently small tactoids have a uniform director field, whilst large ones are characterized by a bipolar director field. From the shape and director-field transformation of the droplets we estimate the surface anchoring strength.

Cyclotron production of 11^C: experimental assessment of saturation yield and validation with Monte Carlo simulation

Nell'ambito della Fisica Medica, le simulazioni Monte Carlo sono uno strumento sempre più diffuso grazie alla potenza di calcolo dei moderni calcolatori, sia nell'ambito diagnostico sia in terapia. Attualmente sono disponibili numerosi pacchetti di simulazione Monte Carlo di carattere "general purpose", tra cui Geant4. Questo lavoro di tesi, svolto presso il Servizio di Fisica Sanitaria del Policlinico "S.Orsola-Malpighi", è basato sulla realizzazione, utilizzando Geant4, di un modello Monte Carlo del target del ciclotrone GE-PETtrace per la produzione di C-11. Nel modello sono stati simulati i principali elementi caratterizzanti il target ed il fascio di protoni accelerato dal ciclotrone. Per la validazione del modello sono stati valutati diversi parametri fisici, tra i quali il range medio dei protoni nell'azoto ad alta pressione e la posizione del picco di Bragg, confrontando i risultati con quelli forniti da SRIM. La resa a saturazione relativa alla produzione di C-11 è stata confrontata sia con i valori forniti dal database della IAEA sia con i dati sperimentali a nostra disposizione. Il modello è stato anche utilizzato per la stima di alcuni parametri di interesse, legati, in particolare, al deterioramento dell'efficienza del target nel corso del tempo. L'inclinazione del target, rispetto alla direzione del fascio di protoni accelerati, è influenzata dal peso del corpo del target stesso e dalla posizione in cui questo é fissato al ciclotrone. Per questo sono stati misurati sia il calo della resa della produzione di C-11, sia la percentuale di energia depositata dal fascio sulla superficie interna del target durante l'irraggiamento, al variare dell'angolo di inclinazione del target. Il modello che abbiamo sviluppato rappresenta, dunque, un importante strumento per la valutazione dei processi che avvengono durante l'irraggiamento, per la stima delle performance del target nel corso del tempo e per lo sviluppo di nuovi modelli di target.

Monte Carlo simulation of a dynamic MLC based on a multiple source model

Detailed knowledge of the characteristics of the radiation field shaped by a multileaf collimator (MLC) is essential in intensity modulated radiotherapy (IMRT). A previously developed multiple source model (MSM) for a 6 MV beam was extended to a 15 MV beam and supplemented with an accurate model of an 80-leaf dynamic MLC. Using the supplemented MSM and the MC code GEANT, lateral dose distributions were calculated in a water phantom and a portal water phantom. A field which is normally used for the validation of the step and shoot technique and a field from a realistic IMRT treatment plan delivered with dynamic MLC are investigated. To assess possible spectral changes caused by the modulation of beam intensity by an MLC, the energy spectra in five portal planes were calculated for moving slits of different widths. The extension of the MSM to 15 MV was validated by analysing energy fluences, depth doses and dose profiles. In addition, the MC-calculated primary energy spectrum was verified with an energy spectrum which was reconstructed from transmission measurements. MC-calculated dose profiles using the MSM for the step and shoot case and for the dynamic MLC case are in very good agreement with the measured data from film dosimetry. The investigation of a 13 cm wide field shows an increase in mean photon energy of up to 16% for the 0.25 cm slit compared to the open beam for 6 MV and of up to 6% for 15 MV, respectively. In conclusion, the MSM supplemented with the dynamic MLC has proven to be a powerful tool for investigational and benchmarking purposes or even for dose calculations in IMRT.

Monte Carlo simulation of a dynamic MLC: implementation and applications

PURPOSE: Study of behavior and influence of a multileaf collimator (MLC) on dose calculation, verification, and portal energy spectra in the case of intensity-modulated fields obtained with a step-and-shoot or a dynamic technique. METHODS: The 80-leaf MLC for the Varian Clinac 2300 C/D was implemented in a previously developed Monte Carlo (MC) based multiple source model (MSM) for a 6 MV photon beam. Using this model and the MC program GEANT, dose distributions, energy fluence maps and energy spectra at different portal planes were calculated for three different MLC applications. RESULTS: The comparison of MC-calculated dose distributions in the phantom and portal plane, with those measured with films showed an agreement within 3% and 1.5 mm for all cases studied. The deviations mainly occur in the extremes of the intensity modulation. The MC method allows to investigate, among other aspects, dose components, energy fluence maps, tongue-and-groove effects and energy spectra at portal planes. CONCLUSION: The MSM together with the implementation of the MLC is appropriate for a number of investigations in intensity-modulated radiation therapy (IMRT).

Combining Monte Carlo methods with coherent wave optics for the simulation of phase-sensitive X-ray imaging

Phase-sensitive X-ray imaging shows a high sensitivity towards electron density variations, making it well suited for imaging of soft tissue matter. However, there are still open questions about the details of the image formation process. Here, a framework for numerical simulations of phase-sensitive X-ray imaging is presented, which takes both particle- and wave-like properties of X-rays into consideration. A split approach is presented where we combine a Monte Carlo method (MC) based sample part with a wave optics simulation based propagation part, leading to a framework that takes both particle- and wave-like properties into account. The framework can be adapted to different phase-sensitive imaging methods and has been validated through comparisons with experiments for grating interferometry and propagation-based imaging. The validation of the framework shows that the combination of wave optics and MC has been successfully implemented and yields good agreement between measurements and simulations. This demonstrates that the physical processes relevant for developing a deeper understanding of scattering in the context of phase-sensitive imaging are modelled in a sufficiently accurate manner. The framework can be used for the simulation of phase-sensitive X-ray imaging, for instance for the simulation of grating interferometry or propagation-based imaging.