Monte Carlo Methods In Finance
The solution of the nearest correlation matrix applies the hypershpere or spectral decomposition methods as outlined in Monte Carlo methods in Finance by Peter Jackel, Chapter 6.Use CorrelationExample.m that applies a simple example for the two cases.
Platforms: Matlab
License: Freeware | Size: 10 KB | Download (49): Salvaging a Linear Correlation Matrix Download |
Monte Carlo eXtreme, otherwise kown as MCX, is a Monte Carlo simulation tool for time-resolved photon transport in 3D turbid media.
It uses Graphics Processing Units (GPU) based massively parallel computing techniques and is extremely fast compared to the traditional single-threaded CPU-based...
Platforms: Windows
License: Freeware | Download (469): Monte Carlo eXtreme Download |
An example to price an Arithmetic Average fixed strike Call option in the Black-Scholes framework using Monte Carlo Control Variate
Platforms: Matlab
License: Freeware | Size: 10 KB | Download (53): Asian Option - Pricing using Monte Carlo Control Variate Method Download |
Numerical integration with Monte Carlo method (on FPGA chip).Requirements:- Matlab/Simulink- Diamond IDE (3L)- FPGA Xilinx VIrtex II (SMT8036E) http://www.sundance.com/web/files/static.asp?pagename=uni_offer_1)- Visual Studio (Optional)- Xilinx System Generator (Recommended)- Xilinx ISE...
Platforms: Matlab
License: Freeware | Size: 20.57 MB | Download (50): NUMERICAL INTEGRATION WITH MONTE CARLO METHOD ON FPGA BOARD Download |
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 availableYou will find here :* how to code your...
Platforms: Matlab
License: Freeware | Size: 399.36 KB | Download (55): Monte Carlo simulations using MATLAB Download |
A Monte Carlo simulation of Major League Baseball(TM), used to find the best strategies in a baseball game. The effect of different batting orders and the addition of one super-star can be tested and archived in retrosheet format.
Platforms: Windows, Mac, Linux
License: Freeware | Size: 52.85 KB | Download (56): Monte Carlo Baseball Simulation Download |
MCX is a Monte Carlo simulation software for static or time-resolved photon transport in 3D media. It uses GPU-based massively parallel computing techniques and is extremely fast compared to the traditional single-threaded CPU-based simulations.
Platforms: Windows, Mac, Linux
License: Freeware | Size: 993.67 KB | Download (49): Monte Carlo eXtreme (MCX) Download |
MCS is a tool that exploits the Monte Carlo method and, with a complex algorithm based on the PERT (Program Evaluation and Review Technique), it estimates a project's time.
MCS is a opensource project and it was devolped by Java Programming Language.
Platforms: Windows, Mac, Linux
License: Freeware | Size: 2.2 MB | Download (60): Monte Carlo Simulations Download |
clupan is a tool for performing the cluster expansion and several Monte Carlo simulations in multicomponent alloys. clupan can be used for predicting ground state structures and evaluating phase diagrams on the basis of results of DFT calculations.
Platforms: *nix
License: Freeware | Size: 71.68 KB | Download (37): clupan Download |
As a coursework, we are required to price a double barriers knock-in binary put option. We used finite difference method in 24 ways and multinomial lattice in 12 ways. We also implemented analytic and Markov chain method. At the end, we compared these four methods and Monte Carlo method.In this...
Platforms: Matlab
License: Freeware | Size: 358.4 KB | Download (53): An Example of Markov Chain and multinominal option pricing Download |
Discrete-time models: random walk, ARMA, fractional integration, GARCH). Continuous-time counterparts: Levy processes, Ornstein-Uhlenbeck, fractional Brownian motion, stochastic volatility, subordination.To walk through the code and for a thorough description, refer to A. Meucci (2009), "Review...
Platforms: Matlab
License: Freeware | Size: 4.69 MB | Download (43): Review of Discrete and Continuous Processes in Finance Download |
Blackjack basic strategy calculator project is a Monte Carlo basic strategy calculator. bsc finds the Blackjack strategy through the Monte Carlo method. It analyzes each situation with adaptive depth, and is generally optimized for speed. The rules are hard coded for the authors local...
Platforms: *nix
License: Freeware | Size: 55.3 KB | Download (226): Blackjack basic strategy calculator Download |
Function for pricing basket option using Monte Carlo Simulation. You can specify if you want an American option. For American options, it follows LMS algorithm. You can choose to specify Averaging date, Average Price, Average type etc. asianbasket.m and europeanbasket.m are the files for pricing....
Platforms: Matlab
License: Freeware | Size: 10 KB | Download (54): Pricing Basket Option Download |
Risk matters to anyone who intends to start up with a new business project, whether it be a hot dog stand, a garage or an airplane factory. Your gut feeling is of the greatest relevance. But sometimes helpers have a different perspective than you and want something more tangible to decide on...
Platforms: Windows, *nix, Windows 7, Other
License: Freeware | Size: 2.08 MB | Download (96): YourSim Download |
The MATLAB program simulates binary frequency shift keying (BFSK) at baseband through Monte Carlo method. The goal is to simulate bit error rate (BER) over an additive white Gaussian noise (AWGN) channel. For realizing that, the effect of noise is represented in the baseband with Gaussian random...
Platforms: Matlab
License: Freeware | Size: 102.4 KB | Download (46): BER of BFSK in AWGN Channel Download |
The MATLAB program simulates binary phase shift keying (BPSK) at baseband through Monte Carlo method. The goal is to simulate bit error rate (BER) over an additive white Gaussian noise (AWGN) channel. For realizing that, the effect of noise is represented in the baseband with Gaussian random...
Platforms: Matlab
License: Freeware | Size: 10 KB | Download (43): BER of BPSK in AWGN Channel Download |
The STP LJ2DMetropolis program is a Monte Carlo simulation of Lennard-Jones particles in two dimensions in contact with a heat bath. The default initial condition is a rectangular configuration of N=64 particles in a box of length L = 18 and a temperature T= 1. STP LJ2DMetropolis is part of a...
Platforms: Mac
License: Freeware | Size: 40.96 KB | Download (44): Lennard-Jones 2D Metropolis Download |
Inyo is a Monte Carlo-based global illumination renderer written in Java.
Platforms: Windows, Mac, Linux
License: Freeware | Size: 1.12 MB | Download (53): Inyo Renderer Download |
Photonics is a photon tracking Monte Carlo package, which calculates photon flux and time distributions in a heterogeneous medium surrounding a light source. The propagation medium and detector and light sources are highly customizable.
Platforms: Mac, BSD, Linux
License: Freeware | Size: 454.79 KB | Download (45): Photonics Download |
The QuantLib project is aimed at providing a comprehensive software framework for quantitative finance. QuantLib is a free/open-source library for modeling, trading, and risk management in real-life. QuantLib is written in C++ with a clean object model, and is then exported to different...
Platforms: Windows, Mac, *nix, C/C++, BSD Solaris
License: Freeware | Download (52): QuantLib Download |