Freeware Listing: Carlo Rubini

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 available You will find here : * 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.

  • Platform: Matlab, Scripts

Numerical integration with Monte Carlo method (on FPGA chip). Requirements: - Matlab/Simulink - Diamond IDE (3L) - FPGA Xilinx VIrtex II (SMT8036E) - Visual Studio (Optional) - Xilinx System Generator (Recommended) - Xilinx ISE (Recommended).

  • Platform: Matlab, Scripts

An example to price an Arithmetic Average fixed strike Call option in the Black-Scholes framework using Monte Carlo Control Variate.

  • Platform: Matlab, Scripts

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 simulations.

Using an nVIDIA 8800GT graphics card (14MP/114Cores), the acceleration is about 300x~400x compared to tMCimg running on a single core of Xeon 5120 CPU; this ratio can be as high as 700x with a GTX 280 GPU and 1400x with a GTX 470.


  • Platform: WinOther

Monte Carlo analysis is an enhancement to CPM and PERT methods built into MS Project. It enables project manager to run statistical simulation of possible project outcomes based on optimistic, pessimistic and most likely estimates..

  • Platform: Win2000, Windows 7, WinOther, WinVista

When planning and saving for retirement, investors are confronted with a variety of investment choices, ranging from the very safe to very aggressive. There are 100s of Monte Carlo simulators and calculators to assist retirees in projecting a so-called "safe withdrawal rate" (SWR) from their volatile, equity-based portfolios that would minimize the risk of outliving their savings. But these tools do not compare those SWR projections with the safest -- and potentially less frugal -- alternative: funding one's retirement years with a portfolio of laddered Treasury Inflation Protected Securities ("TIPS"), fortified by a longevity annuity.

  • Platform: WinOther

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..

  • Platform: Linux, Mac OS X, WinOther

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..

  • Platform: Linux, Mac OS X, WinOther

MCMLL is a C++ template library (header files only! : ) ) for machine learning with an emphasis on Monte-Carlo methods. It includes a large number of different (multi-threaded) Evolutionary Algorithms, Particle Filtering framework....

  • Platform: Linux, Unix

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..

  • Platform: Linux, Mac OS X, WinOther

This program performs a Monte Carlo simulation of a coherent QPSK communication system and plot the error probability performance over additive whit Gaussian noise channel. The detection is based on correlation metric. Simulation is performed for 10,000 bits and measurements are made accordingly..

  • Platform: Matlab, Scripts

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. basketset.m is the function to generate a structure which is used for pricing functions. testfile.m is an example. For LMS, it draws inspiration from the following page:

  • Platform: Matlab, Scripts

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..

  • Platform: Matlab, Scripts

MiMMC (MultiModal Monte Carlo) is a research tool for Monte Carlo based radiotherapy planning and dosimetry.
MiMMC (MultiModal Monte Carlo) License - GNU General Public License (GPL).

  • Platform: WinOther

Quantum Monte Carlo algorithms expressed in Python. This code calculates electronic properties of atoms and molecules from first principles.
Quameon - Quantum Monte Carlo in Python License - GNU General Public License (GPL).

  • Platform: WinOther

Garrett is a simple scripting language for Monte Carlo portfolio evaluation. It has applications in energy, economics and more. Garrett automatically parallelizes and vectorizes the input simulation for maximum performance.
Garrett, Monte Carlo Scripting Language License - GNU General Public License (GPL).

  • Platform: WinOther

EMC: Enhanced Monte Carlo; A multi-purpose modular and easy extendable solution to molecular and mesoscale simulations
EMC: Enhanced Monte Carlo License - GNU General Public License (GPL).

  • Platform: WinOther

Six Sigma Toolbox is a handy set of utilities especially designed for Microsoft Excel and which provide several capabilities including statistics and Mote Carlo simulations.

The Six Sigma Toolbox integrates seamlessly with your Excel spreadsheets and allows you to perform a variety of operations.


  • Platform: Win7 x64, Windows 7, WinOther, WinVista

Virtual Photonics MC is a lightweight command line tool that can simulate the Monte Carlo model. Users can choose the input file and adjust the sweep parameters.

The application can generate example infiles for different types of input data. The sweep coefficients (for absorption and scattering) are customizable.


  • Platform: WinOther

The x64 Tonatiuh project aims to create an open source, cutting-edge, accurate, and easy to use Monte Carlo ray tracer for the optical simulation of solar concentrating systems. It intends to advance the state-of-the-art of the simulation tools available for the design and analysis of solar concentrating systems, and to make those tools freely available to anyone interested in using and improving them. Some of the most relevant design goals of Tonatiuh are:

To develop a robust theoretical foundation that will facilitate the optical simulation of almost any type of solar concentrating systems.

  • Platform: Win7 x64, WinOther, WinVista x64

Carlo Rubini: Freeware | All

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