PDFsampler by Pantelis Sopasakis

A simple and handy PDF (Probability Distribution Function) re-constructor and sampler. (distribution function, probability, monte carlo)

PDFsampler

Toolbox: partial least squares and CARS for variable selection by Hongdong Li

PLS regression, cross validation, variable selection for PLS (pls, monte carlo, chemistry)

CV=oscplscv(X,y,A,K,method,nosc)

CV=plscvfold(X,y,A,K,method,PROCESS,order)

CV=plsmccv(X,y,A,method,N,ratio,OPT)

Reporting tools in the MATLAB and Simulink Environment by Roni Peer

This submission shows how you can export your results from MATLAB, via different reports. (report, publish, export)

snr(noisydata, original)

RUNME.m

myScript.m

Mining Economics with MATLAB by David Willingham

Simulates a distribution of Net Present Values of a mine via a forecasting model for Iron Ore Prices (commodities, mining, economics)

FitNPV(NPV)

cashflow(data,NTrials,SYear)

discounting(data,capex,NTrials,sales,discFactorY,salesb)

Blackjack by Cleve Moler

Play individual hands of the card game, or simulate a session. (games, blackjack, monte carlo)

blackjack(action)

blackjacksim(n)

The SABR Model - Densities and MC by Kienitz Wetterau FinModelling

Different Approximation to SABR. Including Kienitz, Doust, Hagan, Obloj, Lesniewski, Kainth method (sabr, monte carlo, doust)

BinarySABR(f, k, t, sigma, disc)

BinarySABR_1_2(f, k, t, sigma)

BinarySABR_2(f, k, t, sigma)

Monte Carlo Simulation and Derivatives Pricing by Kienitz Wetterau FinModelling

Monte Carlo Schemes for advanced models and pricing of derivatives (monte carlo, disretization, sample scheme)

ArithmeticAsian(S, K, C)

BestOfCall(S1,S2)

CallPut(S,K,C)

Heston and SABR Unbiased Schemes by Kienitz Wetterau FinModelling

Unbiased Schemes for Heston and SABR. (broadie kaya, heston, exact sampling)

CallPricingFFT(model,n,S,K,T,r,d,varargin)

CallPut(S,K,C)

CharacteristicFunctionLib(model,u,lnS,T,r,d,varargin)

Fixed Grid and Stochastic Grid Monte Carlo Sampling by Kienitz Wetterau FinModelling

We cover two methods for sampling from Jump Diffusion Models (merton model, fgs, sgs)

MC_merton_fgs(S,r,sigma,T, ...

MC_merton_sgs(S,r,sigma,T, a,b,lambda,NSim)

MertonPrice(Spot,Strike,sigma,r,T,a,b,lambda,n_max)

rndvar by Damith Senaratne

Provides a MATLAB class for simulating random variables (RV). (random variable, monte carlo, mean)

rndvar

Simple Portfolio Optimization Methods by Semin Ibisevic

Myopic, Constant or Buy-and-Hold and Dynamic Strategies to calculate the optimal portfolio weight. (asset allocation, monte carlo, simulation)

optDynamic(returns, predictors, gamma, rf, accuracy)

optMyopic(returns, gamma, rf, accuracy)

simBellman(n,k,param)

Monte carlo simulation of three dimensional grain growth - code - version No. 1 (basic) by sunil anandatheertha

Q-state Metropolis algorithm based Monte-Carlo simulation of basic 3D GRAIN GROWTH (monte carlo, crystal growth 3d mon..., modeling)

AssignRandomInitialStateMatrix_3D_QPOTTS(x,Q)

E1=Energy1_3D_QPOTTS(IESM)

E2=Energy2_3D_QPOTTS(IESM_NewSpin)

Monte carlo simulation of two dimensional grain growth - code - version No. 1 (basic) by sunil anandatheertha

Q-state Metropolis algorithm based Monte-Carlo simulation of basic GRAIN GROWTH (2d grain growth, automotive, material science)

AssignRandomInitialStatematrix(x,Q);

AverageGrainSize(state,x,y)

EdgeBoundaryWrapQPOTTS(i,j,x)

MotifCatcher by Phillip Seitzer

a MATLAB GUI platform for determination and evaluation of biologically significant motifs (motif, positionspecific scor..., scoring matrix)

...

MC_CompareOccurrenceAndLocalization(MotifMap)

MC_GetFPDir

Credit Risk Modeling with MATLAB by Ameya Deoras

These are the supporting MATLAB files for the MathWorks webinar of the same name. (treebagger, bond, var)

...

Credit_Rating(newData)

GetMigrationFtsCell(id,date,numRating)

Card dealing by Michael Chan

To provide sample utilities and demonstrate card shuffling and dealing. (card dealing, monte carlo, statistics)

cell2str(c,n,mode)

displayImagesInDirectory(targetFolder, imageFiles, imageFil...

generateShuffledIndex(lengthOfShuffledIndex)

Memory Selection Coverage by Michael Chan

Observation on partial scanning for power conservation and enhance speed performance. (statistics, monte carlo)

generateShuffledIndex(lengthOfShuffledIndex)

plotResults.m

startCoverageHitExperiments.m

Approaches to implementing Monte Carlo methods in MATLAB by sri

Code for the article in the September 2011 article http://www.wilmott.com/magazine.cfm (monte carlo, parallel computing, wilmott)

PriceArithmeticAsianOption(S0,X,r,T,sigma,NSteps,NPaths)

PriceArithmeticAsianOptionFin(S0,X,r,T,sigma,NSteps,NPaths)

PriceArithmeticAsianOptionPCT(S0,X,r,T,sigma,NSteps,NPaths)

Faster/parallel random number generator via standard C++ by Peter Li

Mersenne Twister from Boost Random: same as modern Matlab, faster. Plus flexible distributions! (random number, monte carlo, mersenne twister)

fftnoise - generate noise with a specified power spectrum by Aslak Grinsted

Useful helper function for Monte Carlo null-hypothesis tests and confidence interval estimation. (surrogate, noise, random)

noise=fftnoise(f,Nseries)

Fully Flexible Views and Stress-testing by Attilio Meucci

Full generalization of Black-Litterman and related techniques via entropy pooling (blacklitterman, analysis, finance)

CVaR=ComputeCVaR(Units,Scenarios,Conf)

Constr=SetUpConstraints(Securities);

EfficientFrontier(X,p, Options);

Monte Carlo method for estimating plane figure area by Konstantin Ninidze

An area S(A) of a figure A, bounded by a Jordan curve is calculated. (mathematics, monte carlo, splines)

S=Area_M(N)

Circuit Analysis Toolbox by John McDermid

The circuit analysis toolbox allows you to perform an AC analysis of a circuit. (ac analysis, gain, branch current)

[cirDesc,refNode,notes,file]=input_file(varargin)

[nodeList,refNodeNew]=node_list(cirDesc,refNode)

cirDescNew=edit_desc(cirDesc)

Montecarlo pi calculation by Davide Di Gloria

Montecarlo pi calculation (monte carlo, montecarlo, pi value)

montecarlopi.m

Job Estimator by Doug Hull

Estimates how long a job will take on a comput cluster of various sizes (monte carlo, dct, distributed)

jobEstimate(taskLengths, efficiency, numWorkers)

mainGui(varargin)

plotTasks( job, figHandle)

Spatial Correlation Generator with Latin Hipercube Sampling and Cholesky Decomposition by Miguel Ignacio Barrios

Stochastic fields Generation. created by LHS. Correlation is based on Cholesky factorization. (latin hypercube sampl..., cholesky, random field)

[fieldiid,hp,sig,k]=generar(m,v,p,q,e,deltax,a)

Using MATLAB(R) and the Statistics ToolboxTM for Design for Six Sigma (DFSS) by Dan Doherty

M-files used in the webinar held on November 2, 2005 (statistics, probability, design for six sigma)

x=coded2real(z,bounds)

Fandemo.m

Copula Functions by Peter Perkins

Functions accompanying MATLAB News&Notes article "Monte-Carlo Simulation in MATLAB Using Copulas" (copula, statistics, probability)

metapop(tau)

Sampling from a discrete distribution by Dahua Lin

The function is to draw samples from an arbitrary discrete distribution. (monte carlo, sampling, simulation)

discretesample(p, n)

Asian Option - Pricing using Monte Carlo Control Variate Method by Sudhanshu Chadha

Price asian option using Monte carlo control Variate (analysis, asian option, finance)

AsianCall_mc_cv(S0,K,r,T,vol,Simu);

BS_European_Call(S, K, sigma, r, T);

mccv_gui(varargin)

Sequential Number Theoretic Optimization Package by Prakash Manandhar

Many parameter global optimization using SNTO method (hammersley, number theoretic, global optimization)

Pricing American Options by Mark Hoyle

Examples of pricing American options using MATLAB® (schwartz, modeling, crr)

AmericanOptCRR(S0,K,r,T,sigma,N,type)

AmericanOptFD(S0,K,r,T,sigma,N,M,type)

AmericanOptLSM(S0,K,r,T,sigma,N,M,type)

EyeMap by Ruben Luis

Displays the eye diagram of a signal as an intensity map, similarly to a digital oscilloscope (eye diagram, oscilloscope, eye pattern)

eyemap(SigVector,WindowLength,Xresolution,Yresolution)

Generate a Van der Corput sequence by Dimitri Shvorob

(perhaps while learning QMC) (qmc, elements, monte carlo)

vdcorput(k,b)

Monte Carlo Simulation for Photon Migration Inside Biological Tissue (version 1.3) by Bo

A MATLAB implementation of Monte Carlo simulation for photon migration inside tissue. (monte carlo, photon, medical)

area measuring by Yonathan Nativ

measuring areas surface and path length in an image (map) (area, path, measure)

calcEnclosedArea(varargin)

mcint by Lee Ferchoff

Monte Carlo integrator over arbitrary n-dimensional domains (integration, monte carlo, integrator)

jacobian(x, system)

learnmcint

mcint(h, n, opt)

Multicanonical Monte Carlo scheme for finding rare growth factors by Kara Maki

A multicanonical Monte Carlo (MMC) scheme developed to approximate the tails of growth factor probab (mmc, monte carlo, multicanonical)

mcmc1( X, burnin, sigma, P, binedge )

mcmc2( X, M, sigma, P, binedge )

gf_mmc_driver.m

Simulation of Stochastic Processes by Ingemar Kaj Raimundas Gaigalas

Simulates and plots trajectories of simple stochastic processes. (poisson, branching, brownian)

birthdeath(npoints, flambda, fmu)

bm3plot(npoints, sigma)

brownian(npoints, sigma)

Monte Carlo Simulation for Photon Migration Inside Biological Tissue (version 1.2) by Bo Qiang

A MATLAB implementation of Monte Carlo simulation for photon migration inside tissue. (biotech, pharmaceutical, monte carlo)

InitializeInput(inputfilename)

MC(input)

ProcessOutput(input,output)

Monte Carlo Simulation for Photon Migration Inside Biological Tissue by Bo Qiang

A MATLAB implementation of Monte Carlo simulation for photon migration inside tissue. (biotech, pharmaceutical, monte carlo)

InitializeInput(inputfilename)

MC(input)

ProcessOutput(input,output)

Montecarlo by Jordi Soler Penades

Integrates funcion using Monte-Carlo method (carlo, monte, monte carlo)

I=montec(f,a,b,n)

I=montec2var(g,a,b,c,d,n)

I=montec2vvar(g,cx,dx,a,b,c,d,n)

Simulation of stochastic processes and parameter estimation of 1-F interest rate models by Panagiotis Braimakis

Completed as a part of an assignment by Dionysia Angelakopoulou, Melina Esoglou & PB (ewma, analysis, interest rate paramet...)

Restricted sampling from Gaussian Distribution by Kanchi

Sample x from N(x_mu, x_var), restricted in x_min<=x<=x_max. (image analysis, monte carlo, sampling)

func_restricted_sampling(x_mu, x_var, x_min, x_max);

ltpnorm(z)

ltqnorm(p)

Latin Hypercube Sampling by Budiman Minasny

Latin Hypercube Sampling (cdf, sampling, lhs)

[L,D,E,pneg]=mchol(G)

[r,i]=ranking(x)

ltqnorm(p)

Transformation of a Random Variable Demo by Filson Glanz

Generates input/output pdf/CDFs for any writeable mixed pdf inputs and transformation function f(x). (pdf, random variables, statistics)

TransformRV.m

Reinsurance Demo by Kas Sharma

Demo: GUI that prices a reinsurance contract based on "Excess of Loss" terms. (finance, modeling, analysis)

las(x, B, Q, P, S, T)

model_loss_process(premium, losspick, B, Q, P, S, T)

overimpose_the_structure(premium, XOL, loss, lossPick, comm...

multiwaitbar by AJ Johnson

Displays multiple (nested) levels of progress. (gui tools, example, waitbar)

multiwaitbar(message,varargin)