This set of files shows some of the principles of Monte Carlo simulations, as applied in the financial industry.
The slides are in French and a copy in English is also available.
* 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
Target audience: Advanced undergraduate (3rd or 4th year)
Academic institution: N/A
Materials available: Downloadable code/data files
Products: Financial Toolbox,Optimization Toolbox,Statistics Toolbox