Monte Carlo simulations using MATLAB

Version 1.0.0.1 (398 ko) par Vincent Leclercq
Demonstrations of Monte Carlo simulations in MATLAB
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Mise à jour 1 sept. 2016

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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

Citation pour cette source

Vincent Leclercq (2024). Monte Carlo simulations using MATLAB (https://www.mathworks.com/matlabcentral/fileexchange/17964-monte-carlo-simulations-using-matlab), MATLAB Central File Exchange. Récupéré le .

Compatibilité avec les versions de MATLAB
Créé avec R2008a
Compatible avec toutes les versions
Plateformes compatibles
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MonteCarlo/Demos/LakeArea/

MonteCarlo/Demos/MyMC/

MonteCarlo/Demos/PortSim/

MonteCarlo/Demos/VarReduction/

Version Publié le Notes de version
1.0.0.1

Updated license
1.0.0.0

Updated version, which needs now the R2008a release for sobol and halton sequences