Resources on Monte Carlo Simulation

By Kardi Teknomo, PhD.

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To probe further from my Monte Carlo Simulation tutorial (in MS Excel without macro or programming), you may consider the following list of resources on Monte Carlo Simulation. I welcome any feedback and input about other good resources that you want to include in this list; please tell me about it.

Software/Freeware/Code

• Shockwave demo of Monte Carlo Simulation using 1 to 3 dice
• SimTools and FormList: free AddIns for MS Excel (Statistical function and Monte Carlo Simulation)
• MCSim free addIns EXcel of Monte Carlo Simulation (use for econometric)
• Monte Carlo Pi: Nice Mathematica Code to do Monte Carlo integration
• Running and evaluating MC simulations using ALPS
• Java Simulations for Statistical and Thermal Physics (GNU)
• Matlab Code for Monte Carlo Integration
• Werner Krauth depository of Fortran programs of Monte Carlo
• Antony VBA: Monte Carlo Integration using VB (visual Basic)
• MCMC++ A C++ class library for Monte Carlo Markov Chain Analysis of Bayesian models

Other Articles and Tutorials on Monte Carlo Simulation

• Sabri Pllana History of Monte Carlo Method
• SimScience Monte Carlo Simulation
• Monte Carlo simulation related to risk from Decision Engineering
• Vertex42 Monte Carlo Simulation in Excel: A Practical Guide For Science, Engineering, and Financial Risk Analysis
• University of Nebraska-Lincoln: Basics of Monte Carlo Simulations
• Computational Science Education Project : Introduction to Monte Carlo Methods
• Understanding Uncertainty Through Simulation with XLSim
• Duane Bong: Monte Carlo Simulation
• Brian T. Luke: Simple Monte Carlo Simulation
• Lecture Note of A One-Day Short Course in Principles of Monte Carlo Simulation
• FinPortfolio: Monte Carlo Simulation and Financial Planning
• Julie Crawshaw: Why Some Advisors Just Say No to Monte Carlo Simulations
• Everett F. Carter Jr: Random Walks, Markov Chains and the Monte Carlo Method

Online Books

• Paul Coddington : Monte Carlo Simulation for Statistical Physic
• Computational Science Education Project: Random Number Generators
• Peter J. Steinbach: Introduction to Macromolecular Simulation include nice section on Monte Carlo Simulation

Recommended Books (including references of this tutorial)

• Peitgen, H. O. and Saupe, D. (1988) The Science of Fractal Images, Springer-Verlag , New York .
• Fishman, G.S. (1996) Monte Carlo , Concept, Algorithms, and Applications, Srpinger , New York
• Ross, S.M. (1997) Simulation 2 ed, Academic Press, SanDiego
• Newman, M.E.J. and Barkema, (2001) G.T. Monte Carlo Methods in Statistical Physics, Clarendon Press, Oxford
• Landau, D. P. and Binder, K. (2000) A Guide to Monte Carlo Simulation in Statistical Physics, Cambridge University Press, Cambridge

Simulation related Journals

Other Web Resources

• Virtual library of random numbers and Monte Carlo methods

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This tutorial is copyrighted.

Preferable reference for this tutorial is

Teknomo, Kardi. Monte Carlo Simulation Tutorial. http:\\people.revoledu.com\kardi\ tutorial\Simulation\