Colin's repositories
FDM-for-Neural-SDEs
Work in progress of Finite Dimensional Matching for Neural SDEs implementation.
Interest-Rate-Forecasting
Implementation of common interest rate models and their extensions.
Fast-Least-Squares-Monte-Carlo
Fast implementation of Least-Squares Monte Carlo (Longstaff-Schwartz) in C++.
Language:C++MIT000
Numerical-Black-Scholes-Merton
Numerical implementation of Black Scholes using a version of Crank-Nicolson that reduces the spurious oscillations and TR-BDF2.
Language:Jupyter NotebookMIT000
Parallel-QR-Decomposition
Course-grained parallel thin-QR decomposition algorithms for tall-and-skinny matrices on a CPU in C++ using OpenMP.
Language:C++MIT000
SEAM-Fielder-Optimization
Using SEAM to optimize fielder alignments via gradient descent techniques.
Language:RMIT000