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Search results for julia monte carlo simulation

monte-carlo-simulation x

5 search results found

Montecarlomeasurements.jl ⭐ 247

Propagation of distributions by Monte-Carlo sampling: Real number types with uncertainty represented by samples.

Affineinvariantmcmc.jl ⭐ 29

Affine Invariant Markov Chain Monte Carlo (MCMC) Ensemble sampler

Uncertaintyquantification.jl ⭐ 19

Uncertainty Quantification in Julia

Binninganalysis.jl ⭐ 18

Statistical standard error estimation tools for correlated data

Julia and Python programs that implement some of the tools described in my book "Stochastic Methods in Asset Pricing" (SMAP), MIT Press 2017 (e.g., the method for computing the price of American call options and the construction of the early exercise premium in the Black-Scholes-Merton framework from section 18.4 in SMAP).

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