Description: Vincent Leclercq, The MathWorks, 2007
vincent.leclercq@mathworks.fr
Ths is the set of files (with the powerpoint presentation, in french or in english) used for the Webinar "Simulation de Monte Carlo en MATLAB".
- The first demo (LakeArea, run MainLakeArea) is computing the size of a polyogon using a MC approach
- The second demo (PortSim, run WebinarScript) can do 2 things: First, we genrate some equity paths, to verify the lognormality If changing the mode to OptionPricing (uncomment one of the first line),
then those spaths will be used for pricing an asian option
- the 3rd Demo,in myMC (run MonteCarlo.m) , show how to simulate some corelated asset paths
- The 4th demo, (run VanillaPricingUsingDifferentMethods.m in the VarReduction folder) , wil compare th results obtrtain byt differents reduction of Variance technics or "quasi" 礛ont Carlo simultion using Hamlton and sobol Sequences
File list (Check if you may need any files):
MonteCarlo\Demos\LakeArea\ConfidenceIntervalInMC.m
..........\.....\........\CreateConvexPolygon.m
..........\.....\........\EstimateAreaMC.m
..........\.....\........\MainLakeArea.m
..........\.....\........\TestPolyGon.m
..........\.....\MyMC\MonteCarlo.m
..........\.....\PortSim\Equities.mat
..........\.....\.......\GetOptionPrice.m
..........\.....\.......\WebinarScript.m
..........\.....\VarReduction\BlsHalton.m
..........\.....\............\BlsMC.m
..........\.....\............\BlsMCAV.m
..........\.....\............\BlsMCCV.m
..........\.....\............\BlsSobol.m
..........\.....\............\FillBetween.m
..........\.....\............\VanillaPricingUsingDifferentMethods.m
..........\MonteCarlo_Simulations_english.ppt
..........\readme.txt
..........\Simulations_Monte_Carlo_french.ppt
..........\Demos\LakeArea
..........\.....\MyMC
..........\.....\PortSim
..........\.....\VarReduction
..........\Demos
MonteCarlo
Download