Standard Normal Random Variable Generator in C++

This is the random number generator I use for most of my programs. download

Sampling Correlated Asset Paths

The following is C++ written code which generates correlated price paths for a user defined amount of assets. download

Cholesky decomposition algorithm in C++

The Cholesky decomposition algorithm in C++ is now available. download

Matrix operations in C++

The C++ implementation of the following matrix operations are now available: matrix addition/subtration/multiplication, matrix-vector multiplication, distance between two vectors, determinant, transpose. download

Numerical differentiation in C++

Numerical differentiation algorithms in C++ using 5 point stencil formulas are now available. download

Monte Carlo Integration in C++

Code for Monte Carlo method for the approximation of integrals in one, two, and three dimensions is now available. download

Gaussian Copula in C++

A model that captures the joint behavior of two random variables using the Gaussian Copula. download

Numerical Integrator in C++

An approximation of integrals of one, two, and three variables.

European Option pricer (C++)

This is a Black Scholes C++ implementation for pricing a European option on a dividend paying stock. download

Asian Option pricer (C++)

This is an object-oriented version of the Asian option pricing model I made in MATLAB. download