Parsiad Azimzadeh
I just made a multilinear interpolation library for C++. You can get it here.
The driving design philosophy is to handle arbitrary dimensions using template metaprogramming so as to not take any performance hits.
Parsiad Azimzadeh
Parsiad Azimzadeh
Latest posts
- An introduction to regular Markov chains
- mlinterp: Fast arbitrary dimension linear interpolation in C++
- Optimal stopping III: a comparison principle
- Optimal stopping II: a dynamic programming equation
- Optimal stopping I: a dynamic programming principle
- GNU Octave financial 0.5.0 released
- Monte Carlo simulations in GNU Octave financial package
- Introductory group theory
- Closed-form expressions for perpetual and finite-maturity American binary options
- Fast Fourier Transform with examples in GNU Octave/MATLAB