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A high-performance, open-source, C++ library for pricing derivatives.
Fast arbitrary dimension linear interpolation in C++
Fast computation of the blocking probability in the Engset model.
A matrix free implementation of policy iteration (a.k.a. Howard's algorithm) in C++
An implementation of Frank Han's Deep BSDE Solver (Weinan, E., Jiequn Han, and Arnulf Jentzen. "Deep learning-based numerical methods for high-dimensional parabolic partial differential equations a…
Probability [Instructor: Parsiad Azimzadeh] (University of Michigan, Winter 2018)
318 contributions in the last year
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