Monte Carlo simulations using MATLAB

Version 1.0.0.1 (398 KB) by Vincent Leclercq
Demonstrations of Monte Carlo simulations in MATLAB
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Updated 1 Sep 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

Cite As

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

MATLAB Release Compatibility
Created with R2008a
Compatible with any release
Platform Compatibility
Windows macOS Linux

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MonteCarlo/Demos/LakeArea/

MonteCarlo/Demos/MyMC/

MonteCarlo/Demos/PortSim/

MonteCarlo/Demos/VarReduction/

Version Published Release Notes
1.0.0.1

Updated license
1.0.0.0

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