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
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
More resources, including demos and videos, for implementing and speeding up Monte Carlo simulations in both MATLAB and Simulink man be found here:
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?
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.
Any language is good. This would is not only for Anglo.
thanks I have got lot of help for Monte carlo from this site
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?
There was an error in my first submisstion, please apologize for this.
This updated version just include the necessary files.
My guess is that the file Untitled1.m contains all the important information.
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.
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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