DLA-Future
Joint mean-covariance models in R using S4 classes and methods with RcppArmadillo
Resolve heat diffusion problems (1D, 2D) with differential equations in C++
This C++ program prices multi-asset options (Basket, Rainbow, Exchange, Spread) using Monte Carlo simulation based on Geometric Brownian Motion, supporting interactive parameter input, correlation modeling via Cholesky decomposition, and sensitivity analysis.
Comparison of different implementations of the Cholesky decomposition method on different open-source languages and Matlab, for the resolution of linear systems for sparse, symmetric and positive definite matrices.
A simple example implementation of the Compressed Sparse Row method for efficient operations on sparse matrices. Includes a basic linear algebra library for the handling of regular dense matrices
C++ implementation of several mathematical techniques for solving large hollow systems
Algorithms applied in solving mathematical problems for Computer Science
Optimizing Cholesky Factorization with Intel AVX Instructions
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