Essential Monte Carlo analysis
Abstract
The Monte Carlo (MC) method is a simulation technique pioneered in the field of physics, within the Manhattan Project, during World War II, by Stanislaw Ulam, John Von Neuman, and Nicholas Metropolis. The name Monte Carlo was coined by N. Metropolis because of the similarity of the statistical simulation to the games of chances, whose outcomes are strongly determined by a randomizing device (roulette wheels, dice, cards, etc.) and because in the town of Monte Carlo (also called Monaco) the famous Casino gambling is located. We will see in this chapter the essentials of the Monte Carlo simulation, beginning with some games of chance simulation as a short introduction to the generation ...
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