Module 2: an introduction to Monte Carlo methods

Slides

• lecture 1
• lecture 2

Practical

• instructions
• ncf.m, ncfinv.m
• european_call.m
• digital_put.m

Other Matlab files (not needed for this practical)

• digital_call.m
• down_and_out_call.m
• heston_call.m
• lookback_call.m
• merton_call.m

Module 4: Monte Carlo path simulation

Slides

• lecture 1

Practical

• instructions
• weak.m
• strong.m
• weak2.m

Module 6: Advanced Monte Carlo methods

Slides

• lecture 1
• lecture 2
• lecture 3
• lecture 4

MATLAB codes

• qmc.m
• bb.m
• ncfinv.m
• z_d4096_m15_gf1.mat (rank-1 lattice points)

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