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Monte Carlo simulations using MATLAB

11 Dec 2007 (Updated 09 Jun 2008)

Demonstrations of Monte Carlo simulations in MATLAB

File Information
Description	This set of files show some of the principles of Monte Carlo simulations, applied in the financila industry. this si 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)
Zip File Content
Other Files	MonteCarlo/Demos/LakeArea/ConfidenceIntervalInMC.m, MonteCarlo/Demos/LakeArea/CreateConvexPolygon.m, MonteCarlo/Demos/LakeArea/EstimateAreaMC.m, MonteCarlo/Demos/LakeArea/MainLakeArea.m, MonteCarlo/Demos/LakeArea/TestPolyGon.m, MonteCarlo/Demos/MyMC/MonteCarlo.m, MonteCarlo/Demos/PortSim/Equities.mat, MonteCarlo/Demos/PortSim/GetOptionPrice.m, MonteCarlo/Demos/PortSim/WebinarScript.m, MonteCarlo/Demos/VarReduction/BlsHalton.m, MonteCarlo/Demos/VarReduction/BlsMC.m, MonteCarlo/Demos/VarReduction/BlsMCAV.m, MonteCarlo/Demos/VarReduction/BlsMCCV.m, MonteCarlo/Demos/VarReduction/BlsSobol.m, MonteCarlo/Demos/VarReduction/FillBetween.m, MonteCarlo/Demos/VarReduction/VanillaPricingUsingDifferentMethods.m, MonteCarlo/MonteCarlo_Simulations_english.ppt, MonteCarlo/readme.txt, MonteCarlo/Simulations_Monte_Carlo_french.ppt

Tags for This File
Everyone's Tags	analysis, finance, modeling, monte carlo simulation(2), ornstein, variance reduction
Tags I've Applied
Add New Tags	Please login to tag files.

Comments and Ratings (7)
11 Dec 2007	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.
12 Dec 2007	Duane Hanselman	My guess is that the file Untitled1.m contains all the important information.
14 Dec 2007	vincent leclercq	There was an error in my first submisstion, please apologize for this. This updated version just include the necessary files.
30 Apr 2008	zhong wang	very good
09 May 2008	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?
18 Jun 2008	neer nitzshe	thanks I have got lot of help for Monte carlo from this site
15 Oct 2008	Apple Zhang	Any language is good. This would is not only for Anglo.

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Updates

13 Dec 2007

there was an error in teh uploaded files. Pelsae the readme.txt file for how to use the demo.

The Recording of teh online seminar shoube be avialable soon on the mathworks website.

27 May 2008

Added English version of the slides

09 Jun 2008

Updated version, which needs now the R2008a release for sobol and halton sequences

Tag Activity for this File
Tag	Applied By	Date/Time
finance	Vincent Leclercq	22 Oct 2008 09:38:49
modeling	Vincent Leclercq	22 Oct 2008 09:38:49
analysis	Vincent Leclercq	22 Oct 2008 09:38:49
variance reduction	Vincent Leclercq	22 Oct 2008 09:38:49
monte carlo simulation	Vincent Leclercq	22 Oct 2008 09:38:49
monte carlo simulation	Francisco	27 Feb 2009 09:25:03
ornstein	Rainer haidiger	14 Apr 2009 09:16:58

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