mlmc: Multi-Level Monte Carlo

Share:

An implementation of Multi-level Monte Carlo for R. This package builds on the original 'Matlab' and C++ implementations by Mike Giles to provide a full MLMC driver and example level samplers. Multi-core parallel sampling of levels is provided built-in.

Author
Louis Aslett [cre, aut, trl], Mike Giles [ctb], Tigran Nagapetyan [ctb], Sebastian Vollmer [ctb]
Date of publication
2016-04-24 23:19:03
Maintainer
Louis Aslett <aslett@stats.ox.ac.uk>
License
GPL-2
Version
1.0.0

View on CRAN

Man pages

mcqmc06_l
Financial options using a Milstein discretisation
mlmc
Multi-level Monte Carlo estimation
mlmc.test
Multi-level Monte Carlo estimation test suite
opre_l
Financial options using an Euler-Maruyama discretisation
plot.mlmc.test
Plot an 'mlmc.test' object

Files in this package

mlmc
mlmc/src
mlmc/src/mcqmc06_l.cpp
mlmc/src/RcppExports.cpp
mlmc/NAMESPACE
mlmc/R
mlmc/R/aaa.R
mlmc/R/multiplot.R
mlmc/R/print.mlmc.test.R
mlmc/R/RcppExports.R
mlmc/R/opre_l.R
mlmc/R/mlmc.R
mlmc/R/mlmc.test.R
mlmc/R/plot.mlmc.test.R
mlmc/MD5
mlmc/DESCRIPTION
mlmc/man
mlmc/man/plot.mlmc.test.Rd
mlmc/man/mcqmc06_l.Rd
mlmc/man/mlmc.test.Rd
mlmc/man/mlmc.Rd
mlmc/man/opre_l.Rd