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Re: Re: MCMC in Mathematica


On 3 Feb 2009, at 12:31, Jens-Peer Kuska wrote:

> While the most things done rather quick in Mathematica, a simulation
> can run several days and so you may run  into the case, that you
> miss the license to answer the Mathematica newsgroup because you have
> a Mathematica 6 and a Mathematica 7 open, to check your answer with
> both versions ...


But there are simulations and simulations. I run a lot of Monte Carlo  
simulations that compute prices of various kinds of financial options  
in Mathematica. They take maybe two minutes to run and give answers  
accurate to 2 decimal places, which is probably better than the  
accuracy of the models. Even if it would take only a second to run  
this in C, the programing time would be vastly longer (even assuming  
that you have access to a library of mathematical and statistical  
functions that you can use in your C program).
(Besides, at least in the case of option pricing, it is a terrible  
idea to rely on only one method (e.g. simulation) to obtain the  
answer, and Mathematica let's you use all know ones with minimum of  
programming).
So the answer to the OP question depends crucially on what sort of  
simulations he has in mind.

Andrzej Kozlowski



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