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Monte Carlo simulations using MATLAB

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Demonstrations of Monte Carlo simulations in MATLAB



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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

Comments and Ratings (19)

Junmeng Cai


JYJ (view profile)

Feng Guo

I recommend this Matlab code for implementation of Monte Carlo method for sensitivity analysis of Simulink models:



Ryan G

Ryan G (view profile)

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

Liam Mescall

Very useful.Thanks


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?


gohou (view profile)

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.



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

Apple Zhang

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

neer nitzshe

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

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?

zhong wang

very good

vincent leclercq

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

This updated version just include the necessary files.

Duane Hanselman

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

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.


Updated license

Added English version of the slides

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.

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