Risk Latte - Tourists in Monte Carlo

Tourists in Monte Carlo

Rahul Bhattacharya
Mar 30, 2005


It is difficult to accurately pin point the birth of the name "Monte Carlo Simulation" as well the methodology and algorithms associated with it. Many different web sites and books make reference to different authors primarily in the field of Physics, Mathematics and Statistics as the father of this method.

The method, as well as the name for it was apparently first suggested by John von Neumann and Stanislaw M. Ulam. In an unpublished manuscript, "The Origin of the Monte Carlo Method," dated Apr. 12, 1983, Ulam wrote that the method came to him while playing solitaire during an illness in 1946, and that what seems to be the first written account of the method was given by von Neumann in a letter to Robert Richtmyer of Los Alamos in early 1947.

The term was apparently coined by Ulam and von Neumann while working on the design of the atomic bomb by nuclear fission (Manhattan Project) in Los Alamos; they gave the code name Monte Carlo for these simulations.

According to several Internet web pages, the term was coined in 1947 by Nicholas Metropolis, inspired by Ulam's interest in poker during the Manhattan Project of World War II.

A few sources put the origin of this method to late nineteenth century and attribute its invention to the statistician Karl Pearson.

Apparently, Karl Pearson went to Monte Carlo in 1892 for two weeks and his observations of gambling there motivated him to publish a work on probability theory in 1900. However, it is doubtful if he actually coined the term Monte Carlo simulation or even mentioned the words Monte Carlo in any of his papers and works.


(Taken from:
http://www.leidenuniv.nl/fsw/verduin/stathist/1stword.htm
http://www.swlearning.com/accounting/jac/jac11/jac11_article3.html
Interest Rate & Currency Swaps by Ravi Dattatreya and Raj & Vijaya Vnekatesh).

Any comments and queries can be sent through our web-based form.

More on Finance,etc. >>

back to top

More from Articles