Thank you for this. I've been curious about Monte Carlo techniques ever since I was strongly influenced by Taleb's ideas. He uses Monte Carlo techniques via Mathematica* to produce curves for very complex probability functions. He prefers using Monte Carlo (practice) over using math theory. (He calls it "tinkering" not "Pinkering", a reference to Steve Pinker, whom Taleb criticizes because Taleb argues that Pinker relies excessively on theory, not enough on practice).

My request to experienced Monte Carlo tinkerers on HN: please share "open source + free" tools and resources that you'd recommend to learn Monte Carlo.

*Mathematica is very expensive software, without a free tier.