mengtekaluo
所属分类：matlab编程
开发工具：matlab
文件大小：24456KB
下载次数：41
上传日期：2013-08-27 21:57:53
上 传 者：
du jin
说明： 本文件内容是蒙特卡罗算法，主要是对一些被积函数难的多重积分进行估计，文档除了程序以外，还有详细的讲解，便于理解。
(Contents of this document are the Monte Carlo algorithm, mainly for some of the integrand is difficult to estimate the multiple integration, documentation, in addition to the program, there are detailed explanations, easy to understand.)
文件列表:
蒙特卡洛算法 (0, 2013-08-07)
蒙特卡洛算法\MCMC (0, 2013-08-07)
蒙特卡洛算法\MCMC\MCMC code (0, 2013-08-07)
蒙特卡洛算法\MCMC\MCMC code\Accept.m.txt (386, 2011-09-24)
蒙特卡洛算法\MCMC\MCMC code\Alpha.m.txt (1124, 2011-09-24)
蒙特卡洛算法\MCMC\MCMC code\CellData.m.txt (1104, 2011-09-24)
蒙特卡洛算法\MCMC\MCMC code\ChooseN.m.txt (216, 2011-09-24)
蒙特卡洛算法\MCMC\MCMC code\ChooseNFromM.m.txt (471, 2011-09-24)
蒙特卡洛算法\MCMC\MCMC code\CloseWriteOut.m.txt (126, 2011-09-24)
蒙特卡洛算法\MCMC\MCMC code\Data24By24.mat (12213, 2011-09-24)
蒙特卡洛算法\MCMC\MCMC code\DisplayRes.m.txt (1317, 2011-09-24)
蒙特卡洛算法\MCMC\MCMC code\InitWriteOut.m.txt (169, 2011-09-24)
蒙特卡洛算法\MCMC\MCMC code\Likelihood.m.txt (286, 2011-09-24)
蒙特卡洛算法\MCMC\MCMC code\LoadData.m.txt (586, 2011-09-24)
蒙特卡洛算法\MCMC\MCMC code\Main.m.txt (2946, 2011-09-24)
蒙特卡洛算法\MCMC\MCMC code\MakeData.m.txt (4032, 2011-09-24)
蒙特卡洛算法\MCMC\MCMC code\PickN.m.txt (187, 2011-09-24)
蒙特卡洛算法\MCMC\MCMC code\PickOne.m.txt (183, 2011-09-24)
蒙特卡洛算法\MCMC\MCMC code\PickOneFromM.m.txt (171, 2011-09-24)
蒙特卡洛算法\MCMC\MCMC code\PlotStats.m.txt (610, 2011-09-24)
蒙特卡洛算法\MCMC\MCMC code\Prior.m.txt (888, 2011-09-24)
蒙特卡洛算法\MCMC\MCMC code\Propose.m.txt (2814, 2011-09-24)
蒙特卡洛算法\MCMC\MCMC code\RedNodalMat.m.txt (582, 2011-09-24)
蒙特卡洛算法\MCMC\MCMC code\SetInitialState.m.txt (1591, 2011-09-24)
蒙特卡洛算法\MCMC\MCMC code\SetModel.m.txt (198, 2011-09-24)
蒙特卡洛算法\MCMC\MCMC code\SetRVal.m.txt (351, 2011-09-24)
蒙特卡洛算法\MCMC\MCMC code\Solver.m.txt (982, 2011-09-24)
蒙特卡洛算法\MCMC\MCMC code\WriteOut.m.txt (609, 2011-09-24)
蒙特卡洛算法\MCMC\MCMC code\bmatlab.ps (741438, 2011-09-24)
蒙特卡洛算法\MCMC\MCMC code\logLikelihood.m.txt (543, 2011-09-24)
蒙特卡洛算法\MCMC\MCMC code\logPrior.m.txt (1730, 2011-09-24)
蒙特卡洛算法\MCMC\MCMC code\nodenums.m.txt (395, 2011-09-24)
蒙特卡洛算法\MCMC\MCMC code\precompute_symmmd.m.txt (465, 2011-09-24)
蒙特卡洛算法\MCMC\MCMC code\sampdemo.m.txt (79, 2011-09-24)
蒙特卡洛算法\MCMC\MCMC code\stats.m.txt (1437, 2011-09-24)
蒙特卡洛算法\MCMC\Markov chain Monte Carlo.pdf (1822444, 2011-09-24)
蒙特卡洛算法\仿真示例 (0, 2013-08-07)
蒙特卡洛算法\仿真示例\MC求解非线性规划 (0, 2013-08-07)
蒙特卡洛算法\仿真示例\MC求解非线性规划\Zhu.m (1528, 2011-09-24)
蒙特卡洛算法\仿真示例\MC求解非线性规划\yueshu.m (72, 2011-09-24)
... ...
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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