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1. ellp ellp Public

   Linear programming library (written in Rust) that provides primal and dual simplex solvers.

   Rust 4

2. compound_poisson_mle compound_poisson_mle Public

   Shows how to find the maximum likelihood estimate of a compound Poisson distribution, where the summands follow a geometric distribution.

   Jupyter Notebook

3. conditional_monte_carlo_example conditional_monte_carlo_example Public

   Example implementation of the algorithm described in the paper "Conditional Monte Carlo for Reaction Networks" by Anderson and Ehlert.

   MATLAB 1 1

4. algo_trading algo_trading Public

   Various examples related to algorithmic trading or financial engineering.

   Jupyter Notebook 1 1

5. importance_sampling_for_options importance_sampling_for_options Public

   This repository contains a Jupyter notebook with examples related to importance sampling for the pricing of options. It is a mix of examples from Glasserman's book "Monte Carlo Methods for Financi…

   Jupyter Notebook 1

6. kelly_ucb kelly_ucb Public

   Optimal betting for a multi-armed bandit.

   TeX