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Monte Carlo simulations using MATLAB

by Vincent Leclercq

 

11 Dec 2007 (Updated 09 Jun 2008)

Code covered by BSD License  

Demonstrations of Monte Carlo simulations in MATLAB

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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
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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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