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Monte Carlo simulations using MATLAB

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Monte Carlo simulations using MATLAB

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11 Dec 2007 (Updated )

Demonstrations of Monte Carlo simulations in MATLAB

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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)
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Comments and Ratings (17)
17 Sep 2014 Feng Guo  
05 Sep 2014 Carlos M. Velez S.

I recommend this Matlab code for implementation of Monte Carlo method for sensitivity analysis of Simulink models: http://www.mathworks.com/matlabcentral/fileexchange/47758-sensitivity-analysis-in-simulink-models-with-monte-carlo-method

25 May 2014 matalab

不错!!

13 Aug 2012 Ryan G

More resources, including demos and videos, for implementing and speeding up Monte Carlo simulations in both MATLAB and Simulink man be found here:

http://www.mathworks.com/discovery/monte-carlo-simulation.html

05 Dec 2011 austianingrum  
24 Aug 2011 Liam Mescall

Very useful.Thanks

17 Jul 2011 MauriDb  
12 Jan 2011 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?

11 Oct 2010 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

15 Mar 2010 Brigitte

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

15 Oct 2008 Apple Zhang

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

18 Jun 2008 neer nitzshe

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

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?

30 Apr 2008 zhong wang

very good

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.

12 Dec 2007 Duane Hanselman

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

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.

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

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