• Upper Bounds in American Monte-Carlo Apr 30, 2013
• Quasi Monte-Carlo & Longstaff-Schwartz American Option price Apr 22, 2013
• A Fast Exponential Function in Java Apr 19, 2013
• From Double Precision Normal Density to Double Precision Cumulative Normal Distribution Apr 2, 2013
• Cracking the Double Precision Gaussian Puzzle Mar 22, 2013
• Local Volatility Delta & Dynamic Nov 29, 2012
• GPU computing in Finance Oct 15, 2012
• Binary Voting Sep 7, 2012
• Adaptive Quadrature for Pricing European Option with Heston Jun 25, 2012
• Why primitive arrays matter in Java Feb 29, 2012
• Generating random numbers following a given discrete probability distribution Jan 9, 2012
• Quant Interview & Education Dec 21, 2011
• Good & Popular Algorithms are Simple Nov 17, 2011
• SIMD and Mersenne-Twister Feb 5, 2011
• The CUDA Performance Myth Jan 3, 2011
• Another Look at Java Matrix Libraries Nov 29, 2010
• Hull American Option Price Fallacies May 15, 2009
• Bachelier vs. Black Mar 23, 2009