Nematrian Reference Library
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| Reference | Title | Link |
| Thompson, K. and McLeod, A. (2009) | Accelerated ensemble Monte Carlo simulation | |
Abstract
"Traditional vanilla methods of Monte Carlo simulation can be extremely time-consuming if accurate estimation of the loss distribution is required. Kevin Thompson and Alistair McLeod show that the ensemble Monte Carlo method, introduced here, significantly outperforms unbiased Monte Carlo simulation, in terms of both accuracy and speed" |
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