Monte Carlo simulations using MATLAB

バージョン 1.0.0.1 (398 KB) 作成者: Vincent Leclercq
Demonstrations of Monte Carlo simulations in MATLAB
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更新 2016/9/1

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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

引用

Vincent Leclercq (2025). Monte Carlo simulations using MATLAB (https://jp.mathworks.com/matlabcentral/fileexchange/17964-monte-carlo-simulations-using-matlab), MATLAB Central File Exchange. に取得済み.

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MonteCarlo/Demos/LakeArea/

MonteCarlo/Demos/MyMC/

MonteCarlo/Demos/PortSim/

MonteCarlo/Demos/VarReduction/

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1.0.0.1

Updated license
1.0.0.0

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