Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader
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Updated
Jun 26, 2023 - MATLAB
Quant Option Pricing - Exotic/Vanilla: Barrier, Asian, European, American, Parisian, Lookback, Cliquet, Variance Swap, Swing, Forward Starting, Step, Fader
machine learning
MATLAB implementation of all the Operations Research algorithms and problems solved by me.
Open-source software for computing the basin stability of multi-stable dynamical systems
Monte Carlo Simulator for Bit Error Rate Estimation in Digital Communication
Exact Hamiltonian Monte Carlo Sampler for Truncated Multivariate Gaussians
Master Equation vs Montecarlo for simulating Single Electron Transistor behavior in MATLAB
Simulating the two-dimensional Ising model using the Metropolis-Hastings algorithm.
Project source code and data for multi-fidelity machine learning strategy for flame model identification
Code for the paper "Distributed H2 Controller Synthesis for Multi-Agent Systems with Stochastic Packet Loss" by C. Hespe, A. Datar, D. Schneider, H. Saadabadi, H. Werner and H. Frey
Least Squares and Monte Carlo Comparison
Matlab Code for Peter Hoff "A First Course in Bayesian Statistical Methods"
This repository includes Matlab codes/routines that were used in my Bachelor thesis entitled "Numerical Methods For Uncertainty Quantification In Option Pricing" that can be found in: https://www.researchgate.net/publication/330005261_Numerical_Methods_For_Uncertainty_Quantification_In_Option_Pricing.
Colored/White Guassian Noise Removal via Adaptive Thresholding in Curvelet Domain
Code for the paper "Robust Performance Analysis for Time-Varying Multi-Agent Systems with Stochastic Packet Loss" by C. Hespe and H. Werner
This MATLAB code implements the classical Monte Carlo method for solving partial differential equations (PDEs). The code uses the log function of the norm of a random vector as an example PDE and computes the solution at time T=1 and initial condition x0=0.
MSc project
An Implementation of Markov Switching Models for Weather Derivative Pricing
Markov Chain Monte Carlo Correlation Coefficient
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