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  • Copilot vs ChatGPT on the Optimal Finite Difference Step-Size Jul 25, 2024
  • Volatility: Rough or Not? A Short Review May 10, 2022
  • More Automatic Differentiation Awkwardness Jan 4, 2022
  • Quadprog in Julia Nov 21, 2021
  • Bad papers and the roots of high degree polynomials Nov 7, 2020
  • 42 Dec 5, 2019
  • Discrete Sine Transform via the FFT Feb 5, 2018
  • Typo in Hyman non-negative constraint - 28 years later May 23, 2017
  • SABR with Andreasen-Huge May 24, 2013
  • Exact Forward in Monte-Carlo May 13, 2013
  • Quasi Monte-Carlo & Longstaff-Schwartz American Option price Apr 22, 2013
  • A Fast Exponential Function in Java Apr 19, 2013
  • Root finding in Lord Kahl Method to Compute Heston Call Price (Part II) Apr 11, 2013
  • Root finding in Lord Kahl Method to Compute Heston Call Price Apr 9, 2013
  • From Double Precision Normal Density to Double Precision Cumulative Normal Distribution Apr 2, 2013
  • Cracking the Double Precision Gaussian Puzzle Mar 22, 2013
  • 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
  • Diffusion Limited Aggregation Applet Jun 9, 2010
  • double[][] Is Fine Nov 26, 2009