This script demonstrates how to solve following ODE by using Galerkin method:


Based on paper http://math.fullerton.edu/mathews/n2003/galerkin/GalerkinMod/Links/GalerkinMod_lnk_5.html
After running this script, the output values are coefficients of basis functions.

This file calculates lookback call option price using analytical formula given by Cozy and Viswanathan

following function implements the european option pricing by using equal jump size method

This code demonstrates simulating duration from linear ACD(1,1) model in Weibull distribution. (It is a more generalized form of exponential ACD model which overcomes its shortcoming of flat conditional intensity)

This is an extension of the earlier code Tutorial Demo on Cross Entropy minimization (I)

Here we demonstrate how the shape of posterior distribution changes by adding one more constraint which is similar to payoff of a call option. This technique has wide applicability in computing strike adjusted spread.

For example, following graph is obtained using parameters set in this file:


See how the new distribution remains close to the prior distribution while satisying the 2 constraints