Usage of stochastic differential equations to solve applied problems of financial mathematics. Study of optimization methods of algorithms and their use in HPC. Generation of pseudorandom numerical sequences for Wiener process simulation. Automation of the collection of results, etc.
- European option launches in Intel Endevour: https://docs.google.com/spreadsheets/d/1cyqg6_U_4KkqlE3AC1lzdAuw6ErCmqaRdwSgqs3Kuyc/edit?usp=sharing
- Variance decrease methods
- Confidence intervals
- European max call option
- How to build static lib containing MKL without 3500+ compiler warnings
- Solution: use specify Intel tool
- WA: disable pragma
- Research
Warning LNK4221:This object file does not define any previously undefined public symbols, so it will not be used by any link operation that consumes this library - Researc why after redefinition
h = TIME / NSTEPSbrokes calculating of Numerical Methods - Research
Warning LNK4075:ignoring '/EDITANDCONTINUE' due to '/OPT:LBR' specification - Option Price obtained by the Trapeze method greater by 8e-02 compared to the rest
- Optimize code
- MKL Required
- Gtest.lib Required
- Intel Compiler Recommended