I’m going to keep this tutorial light on math, because the goal is just to give a general understanding.
The idea of Monte Carlo methods is this—generate some random samples for some random variable of interest, then use these samples to compute values you’re interested in.
I know, super broad. The truth is Monte Carlo has a ton of different applications. It’s used in product design, to simulate variability in manufacturing. It’s used in physics, biology and chemistry, to do a whole host of things that I only partially understand. It can be used in AI for games, for example the chinese game Go. And finally, in finance, to evaluate financial derivatives or option pricing [1]. In short—it’s used everywhere.