January 4th, 2012, 7:40 pm
Hi Alex,This looks very nice. I quickly ran some of the projects. Some seem to use libs which are not in the projects. How can I resolve this?It seems that we have 2 MC engines beginning to blossom. My idea is that we should share on . FD algorithms . Financial closed solutions. Extension to MC (e.g. antithetic,..)I have added the following to my MC101;. Predictor-Corrector (3 flavours + 1 new one based on midpoint rather than talking averages at n and n+1 !!). Richardson Euler. Milstein. Karhunen-Loeve with the above schemes (KL is like Fourier series and has smallest MSE). It essentially transforms Ito integral to a Lebesque-Stieltjes integral (I think...). Antithetic Euler. For KL (uses sin function) I use OpenMP for speedup (don't use SSE2 nor SIMD yet).What I want next is to design Jumps into the SDE.Problems being worked on: Plain, barrier, CIR, Asian. I will post MC102 soon and maybe you find useful stuff there.//Hope to get back to you when lib issue is resolved.
Last edited by
Cuchulainn on January 3rd, 2012, 11:00 pm, edited 1 time in total.