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Monte Carlo Integration


I'm trying to compute the expected value of an expression. In other
I have an expression E[f(x, sigma)] where sigma is a normal random 
variable. This is of course, the evaluation of an integral. What I'd
to do is this : Evaluate the integral (expectation) by using monte carlo
My questions to all you mathematica gurus out there are as follows :

(1) Is Mathematica a good way to do this kind of stuff ? I'm totally new
to Mathematica.

(2) I saw a command called NIntegrate in the documentation. Would I  use
NIntegrate to do something like this ?

(3) Is there any archive of examples, where I can learn to prepare the
code for such evaluation ?

Please, please, please, your answers will be very much appreciated ! 

Thanks in advance,

Hannah Valentine
h_valentine at

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