MonteCarlo_simlations
所属分类：数学计算
开发工具：matlab
文件大小：401KB
下载次数：12
上传日期：2012-09-18 09:59:31
上 传 者：
feixuemeng2011
说明： 蒙特卡罗(Monte Carlo)方法，或称计算机随机模拟方法，是一种基于"随机数"的计算方法。这一方法源于美国在第二次世界大战中研制原子弹的"曼哈顿计划"。该计划的主持人之一、数学家冯·诺伊曼用驰名世界的赌城-摩纳哥的Monte Carlo-来命名这种方法，为它蒙上了一层神秘色彩
(Monte Carlo (Monte Carlo) methods, or computer random simulation method is based on the calculation method of the random number. This approach stems from the United States developed the atomic bomb during World War II Manhattan Project. Von Neumann, one of the hosts of the program, mathematician with the world-famous Las Vegas- Monaco, Monte Carlo-named this method, it cast a layer of mystery)
文件列表:
MonteCarlo_simlations (0, 2012-09-18)
MonteCarlo_simlations\license.txt (1551, 2009-06-05)
MonteCarlo_simlations\MonteCarlo_simlations (0, 2012-09-18)
MonteCarlo_simlations\MonteCarlo_simlations\Demos (0, 2012-09-18)
MonteCarlo_simlations\MonteCarlo_simlations\Demos\LakeArea (0, 2012-09-18)
MonteCarlo_simlations\MonteCarlo_simlations\Demos\LakeArea\ConfidenceIntervalInMC.m (1608, 2008-06-09)
MonteCarlo_simlations\MonteCarlo_simlations\Demos\LakeArea\CreateConvexPolygon.m (387, 2008-06-09)
MonteCarlo_simlations\MonteCarlo_simlations\Demos\LakeArea\EstimateAreaMC.m (993, 2008-06-09)
MonteCarlo_simlations\MonteCarlo_simlations\Demos\LakeArea\MainLakeArea.m (233, 2008-06-09)
MonteCarlo_simlations\MonteCarlo_simlations\Demos\LakeArea\TestPolyGon.m (214, 2008-06-09)
MonteCarlo_simlations\MonteCarlo_simlations\Demos\MyMC (0, 2012-09-18)
MonteCarlo_simlations\MonteCarlo_simlations\Demos\MyMC\MonteCarlo.m (1690, 2008-06-09)
MonteCarlo_simlations\MonteCarlo_simlations\Demos\PortSim (0, 2012-09-18)
MonteCarlo_simlations\MonteCarlo_simlations\Demos\PortSim\Equities.mat (2474, 2008-06-09)
MonteCarlo_simlations\MonteCarlo_simlations\Demos\PortSim\GetOptionPrice.m (680, 2008-06-09)
MonteCarlo_simlations\MonteCarlo_simlations\Demos\PortSim\WebinarScript.m (6481, 2008-06-09)
MonteCarlo_simlations\MonteCarlo_simlations\Demos\VarReduction (0, 2012-09-18)
MonteCarlo_simlations\MonteCarlo_simlations\Demos\VarReduction\BlsHalton.m (333, 2008-06-09)
MonteCarlo_simlations\MonteCarlo_simlations\Demos\VarReduction\BlsMC.m (232, 2008-06-09)
MonteCarlo_simlations\MonteCarlo_simlations\Demos\VarReduction\BlsMCAV.m (333, 2008-06-09)
MonteCarlo_simlations\MonteCarlo_simlations\Demos\VarReduction\BlsMCCV.m (841, 2008-06-09)
MonteCarlo_simlations\MonteCarlo_simlations\Demos\VarReduction\BlsSobol.m (2302, 2008-06-09)
MonteCarlo_simlations\MonteCarlo_simlations\Demos\VarReduction\FillBetween.m (298, 2008-06-09)
MonteCarlo_simlations\MonteCarlo_simlations\Demos\VarReduction\VanillaPricingUsingDifferentMethods.m (2089, 2008-06-09)
MonteCarlo_simlations\MonteCarlo_simlations\MonteCarlo_Simulations_english.ppt (292352, 2008-05-24)
MonteCarlo_simlations\MonteCarlo_simlations\Simulations_Monte_Carlo_french.ppt (294912, 2008-06-09)
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" Mont Carlo simultion using Hamlton and sobol Sequences
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