This chapter is devoted to the Monte Carlo method for the computation of expectation of simulable random variables. After a presentation of the Strong Law of Large Numbers (without proof) and the different ways to measure its rate of convergence (quadratic mean, Central Limit theorem, Law of the Iterated Logarithm), we introduce the notion of confidence interval at a given confidence level, illustrated by a simple application to the pricing of a multi-asset European option. Then, we propose a first approach to sensitivities computation - known as the Greeks when dealing with derivative financial products - by Monte Carlo simulation.