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A list of all the posts and pages found on the site. For you robots out there is an XML version available for digesting as well.
Pages
About
About me
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Posts
How to optimize Julia SDEs?
Published:
Hi all!. In this post I’ll show how to optimize the simulation of a Stochastic Differential Equations (SDEs) System written in Julia Language. To that end I’ll DifferentialEquations.jl and StaticArrays.jl libraries. Firstly, stack and heap memory types will be defined. Then, the Longstaff-Schwartz SDEs system will be defined, and then translated into Julia code. It’ll be written in two flavours: the in-place (iip) and out-of-place (oop) versions will be shown. For the oop system the StaticArrays.jl package will be used in order to provide stack allocated arrays. Finally, the two implementations will be benchmarked in both heap allocations and elapsed time for adaptive and non-adaptive discretization schemes.
Automatic differentiation for financial options
Published:
Hi, all!. Today I’ll gonna talk about automatic differentiation (AD) applied to computing financial options greeks. I’ll use jax library to compute the greeks of an european option by means of its reverse mode automatic differentiation functionality.
How to speed up python code?
Published:
Hello everybody!. Today I’ll talk about performance in Python and how to improve it when we are dealing with nested for loops and mathematical operations.
portfolio
MarketRisk.jl
High-performance market risk measures for your portfolio.
sodespy
SodesPy (Stochastic Ordinary Differential Equations Suite in Python) is a high-performance library for numerically solving stochastic differential equations (SDEs).
publications
Paper Title Number 1
Published in Journal 1, 2009
This paper is about the number 1. The number 2 is left for future work.
Recommended citation: Your Name, You. (2009). "Paper Title Number 1." Journal 1. 1(1). http://academicpages.github.io/files/paper1.pdf
Paper Title Number 2
Published in Journal 1, 2010
This paper is about the number 2. The number 3 is left for future work.
Recommended citation: Your Name, You. (2010). "Paper Title Number 2." Journal 1. 1(2). http://academicpages.github.io/files/paper2.pdf
Paper Title Number 3
Published in Journal 1, 2015
This paper is about the number 3. The number 4 is left for future work.
Recommended citation: Your Name, You. (2015). "Paper Title Number 3." Journal 1. 1(3). http://academicpages.github.io/files/paper3.pdf
talks
Talk 1 on Relevant Topic in Your Field
Published:
This is a description of your talk, which is a markdown files that can be all markdown-ified like any other post. Yay markdown!
Conference Proceeding talk 3 on Relevant Topic in Your Field
Published:
This is a description of your conference proceedings talk, note the different field in type. You can put anything in this field.
teaching
Teaching experience 1
Undergraduate course, University 1, Department, 2014
This is a description of a teaching experience. You can use markdown like any other post.
Teaching experience 2
Workshop, University 1, Department, 2015
This is a description of a teaching experience. You can use markdown like any other post.