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updated 6 days ago

Uncertainty and sensitivity analysis of Simulink models using brute-force method by Carlos M. Velez S.

Global sensitivity analysis using the brute-force variance-based method and Monte Carlo simulation (monte carlo, sensitivity analysis, simulink)

sens_variance_bruteforce.m

sens_plot_total_sensitivity.m

sens_plot_scatter_param.m

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updated 19 days ago

Numerical Integraton Tool with GUI by Amir John Scheid

Contains following methods: Simpsons, Simpsons 3/8, Monte Carlo, Trapezoidal. (monte carlo, integration, simpsons)

integration(varargin)

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updated 28 days ago

Monte Carlo simulation example using MATLAB (with comments) by Reza Rahemi

A simple Monte Carlo simulation example with detailed comments (simulation, random, monte carlo)

MonteCarlo_CNTower.m

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updated 1 month ago

Natural Gas Storage Valuation by Ameya Deoras

Demos and files from the webinar (energy trading, energy risk, commodities)

Import Analyze Natural Gas Futures Options Historical P...

Natural Gas Storage Valuation: 2. Intrinsic Spread-Optio...

Natural Gas Storage Valuation: 3. Model Calibration and V...

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updated 3 months ago

INFAUNAL by Kaustubh Thirumalai

INdividual Foram Approach UNcertainty AnaLysis (paleoceanography, paleoclimatology, bootstrap resampling)

INFAUNAL: INdividual Foraminiferal Approach UNcertainty A...

Range(d18O)

gssco.m

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updated 7 months ago

Rand Sphere.zip by Duong Pham

Monte Carlo Method with l2 ball uncertainty (monte carlo, numerical integration...)

randsphere(m,n_dim,r)

MCex61_Tempo.m

ex_p180_MBeer.m

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updated 8 months ago

Adaptive Metropolis Hastings and Factor Slice Sampling by Khoa Tran

General purpose Markov Chain Monte Carlo sampling techniques for linearly correlated distribution (mcmc, monte carlo, markov chain)

AM(X,OPT)

FSS(X,OPT)

RWM(X,OPT)

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updated 11 months ago

Predictive model calibration by Michael Weidman

A script exploring 3 useful concepts in predictive models (monte carlo, bootstrap, bootstrapping)

plotCalibrations(pctThresholds, calib1, calib5, calib10, ...

plotForecasts(simPrices, simStartDate, actualPrices)

CalibrationScript.m

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updated 11 months ago

MATLAB for R Users in Computational Finance by Ameya Deoras

Learn how to use MATLAB and R together to tackle your computational needs (r, rstudio, time series)

Backtest Moving Average RSI Combo Strategy

Optimizing Market Risk using Copula Simulation

blsapp()

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updated 12 months ago

A simple yet powerful model for simulating spot and forward prices by Moeti Ncube

A novel procedure that can be used for Monte Carlo pricing of commodities (monte carlo, spark spread, spot price model)

[gas_spot_sim,pwr_spot_sim]=spot_sim(cm,r,sims,spot_days,...

y=output_std(fwds,fwd_vols,dt)

base_code.m

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updated 1 year ago

PDFsampler by Pantelis Sopasakis

A simple and handy PDF (Probability Distribution Function) re-constructor and sampler. (rng, pdf, monte carlo)

PDFsampler

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updated 1 year ago

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

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updated almost 2 years ago

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)

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updated 2 years ago

Blackjack by Cleve Moler

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

blackjack(action)

blackjacksim(n)

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updated 2 years ago

The SABR Model - Densities and MC by Kienitz Wetterau FinModelling

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

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

BinarySABR_1_2(f, k, t, sigma)

BinarySABR_2(f, k, t, sigma)

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updated 2 years ago

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)

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updated 2 years ago

Heston and SABR Unbiased Schemes by Kienitz Wetterau FinModelling

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

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

CallPut(S,K,C)

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

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updated 2 years ago

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)

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updated 2 years ago

rndvar by Damith Senaratne

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

rndvar

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updated almost 3 years ago

Simple Portfolio Optimization Methods by Semin Ibisevic

Myopic, Constant or Buy-and-Hold and Dynamic Strategies to calculate the optimal portfolio weight. (myopic, buyandhold, dynamic)

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

optMyopic(returns, gamma, rf, accuracy)

simBellman(n,k,param)

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updated almost 3 years ago

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 (metallurgy, materials, material science)

AssignRandomInitialStateMatrix_3D_QPOTTS(x,Q)

E1=Energy1_3D_QPOTTS(IESM)

E2=Energy2_3D_QPOTTS(IESM_NewSpin)

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updated almost 3 years ago

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 (metallurgy, materials, material science)

AssignRandomInitialStatematrix(x,Q);

AverageGrainSize(state,x,y)

EdgeBoundaryWrapQPOTTS(i,j,x)

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updated 3 years ago

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

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updated 3 years ago

Credit Risk Modeling with MATLAB by Ameya Deoras

These are the supporting MATLAB files for the MathWorks webinar of the same name. (credit risk, transition matrices, var)

...

Credit_Rating(newData)

GetMigrationFtsCell(id,date,numRating)

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updated 3 years ago

Card dealing by Michael Chan

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

cell2str(c,n,mode)

displayImagesInDirectory(targetFolder, imageFiles, imageF...

generateShuffledIndex(lengthOfShuffledIndex)

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updated 3 years ago

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

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updated 3 years ago

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 (wilmott, monte carlo, parallel computing)

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

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

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

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updated 3 years ago

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)

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updated 3 years ago

Fully Flexible Views and Stress-testing by Attilio Meucci

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

CVaR=ComputeCVaR(Units,Scenarios,Conf)

Constr=SetUpConstraints(Securities);

EfficientFrontier(X,p, Options);

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updated 3 years ago

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)

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updated 4 years ago

Circuit Analysis Toolbox by John McDermid

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

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

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

cirDescNew=edit_desc(cirDesc)

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updated 4 years ago

Montecarlo pi calculation by Davide Di Gloria

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

montecarlopi.m

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updated 5 years ago

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. (random field, correlation, simulation)

generar.m

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updated 5 years ago

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

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updated 5 years ago

Copula Functions by Peter Perkins

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

metapop.m

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updated 6 years ago

Sampling from a discrete distribution by Dahua Lin

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

discretesample(p, n)

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updated 6 years ago

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

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

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

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

mccv_gui(varargin)

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updated almost 7 years ago

Sequential Number Theoretic Optimization Package by Prakash Manandhar

Many parameter global optimization using SNTO method (optimization, snto, global optimization)

ACCEPTANCE_FN_1 (POINT)

AcceptAll (POINT)

CONTRACT_BOUNDS (BOUNDS, CONTRACTION_FACTOR, CENTER_POINT)

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updated 7 years ago

Pricing American Options by Mark Hoyle

Examples of pricing American options using MATLABĀ® (finance, modeling, analysis)

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)

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updated 7 years ago

EyeMap by Ruben Luis

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

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updated 7 years ago

Generate a Van der Corput sequence by Dimitri Shvorob

(perhaps while learning QMC) (integration, corput, monte carlo)

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updated almost 8 years ago

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. (medical, monte carlo, photon)

InitializeInput(inputfilename)

MC(input)

ProcessOutput(input,output)

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updated almost 8 years ago

area measuring by Yonathan Nativ

measuring areas surface and path length in an image (map) (gui tools, example, area)

calcEnclosedArea(varargin)

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updated 8 years ago

mcint by Lee Ferchoff

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

jacobian(x, system)

learnmcint

mcint(h, n, opt)

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updated 8 years ago

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 (statistics, probability, multicanonical)

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

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

gf_mmc_driver.m

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updated almost 9 years ago

Simulation of Stochastic Processes by Ingemar Kaj Raimundas Gaigalas

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

birthdeath(npoints, flambda, fmu)

bm3plot(npoints, sigma)

brownian(npoints, sigma)

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updated almost 9 years ago

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)

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updated 9 years ago

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)

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updated 9 years ago

Montecarlo by Jordi Soler Penades

Integrates funcion using Monte-Carlo method (integration, integral, 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)

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updated 9 years ago

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 (finance, modeling, analysis)

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