Monte Carlo simulations using MATLAB

Demonstrations of Monte Carlo simulations in MATLAB

Description

This set of files show some of the principles of Monte Carlo simulations, applied in the financial industry. this is the content of the web seminar called "Simulations de Monte Carlo en MATLAB".

The slides are in French and a copy in English is also available

You will find here :

* how to code your own monte carlo simulation, for option pricing
* a comparison of some of the Variance Reduction Technics
* Benfeits of using MATLAB for MonteCarlo simulation

• Required Products: Financial Toolbox; Optimization Toolbox; Statistics Toolbox
• MATLAB release: MATLAB 7.6 (R2008a)

[Dimitri Shvorob]

It's a pity to see 87 files in 'Variance reduction' folder alone, and little explanation/comment in the presentation - or a 'readme' file. I'll be sure to take a closer look at the Sobol' sequence generator.

[Duane Hanselman]

My guess is that the file Untitled1.m contains all the important information.

[vincent leclercq]

There was an error in my first submisstion, please apologize for this.

This updated version just include the necessary files.

[zhong wang]

very good

[Alex Chirokov]

Enclosed slides are NOT in English (they are in French). Why would anyone use French for technical documentation, and submit these French files to the website where official language is English?

[neer nitzshe]

thanks I have got lot of help for Monte carlo from this site

[Apple Zhang]

Any language is good. This would is not only for Anglo.

[Brigitte]

Great. @Alex Chirokov: Learn french, it's not as hard as you might think.

[gohou]

Bonjour Vincent,

Je suis etudiant a Keele (UK). je prepare un PhD Economics et cherche une specialisation en Risk Management (Credit et Market Risks).
J'essaie d'apprendre comment appliquer monte carlo au risk management.
j'ai vu un webinar sur le site mais il est trop rapide et n'arrive pas
capter la strategie.j'ai aussi telecharge ton cours sur le site.
Pourrais tu m'aider a apprendre le monte carlo simulation applique au risk
management s'il te plait.
J'ai la version R2010a de matlab avec econometrics et financial tools boxes.

Pourrait tu m'envoyer un excel file et le code approprie pour apprendre ETAPE par ETAPE, LE MONTE CARLO pour market et credit risk management.

Merci infiniment vincent.

D
07855242019

[Alan Yu]

I can't load Equities.mat in PortSim. The error message is " ??? Error using ==> load Unable to read MAT file Equities.mat File may be corrupt." Can anyone tell me what happened?

[MauriDb]

 

[Liam Mescall]

Very useful.Thanks

[austianingrum]