bkamins

using Requests
using StatsBase

const URL = "https://drive.google.com/uc?export=download&id=0B6ZlG_Eygdj-c1kzcmUxN05VUXM"
const ZNAME =  "developer_survey_2017.zip"
const DNAME = "survey_results_public.csv"

function load()
    isfile(DNAME) && return
    if !isfile(ZNAME)

bkamins

using StatsBase     # sample function
using Combinatorics # combinations function
using Plots         # plotting infrastructure

# Code calculating distribution of HCP in hands of a pair of players in bridge
# Ace is worth 4 points, King 3, Queen 2, Jack 1, all other cards (36 in total) count as 0

# Get the distribution using simulation
function sim_hand()
    n = 1_000_000

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function v_asian_sample(T, r, K, σ, X₀, m::Integer)
    X = X₀
    x̂ = zero(X)
    Δ = T/m
    for i in 1:m
        X *= exp((r-σ^2/2)*Δ + σ*√Δ*randn())
        x̂ += X
    end
    exp(-r*T)*max(x̂/m - K, 0)
end

bkamins

import math
import random
import statistics
import numpy
from timeit import default_timer as timer
from numba import jit

def v_asian_sample(T, r, K, s, X0, m):
    xhat = 0.0
    X = X0

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function decode_utf8(x::Char)
    c = reinterpret(UInt32, x)
    if c < 0x00000080
        return c
    end
    if 0x0000C200 <= c & 0x0000FF00 <= 0x0000DF00
        if c & 0xffff0000 == 0 && 0x00000080 <= c & 0x000000FF <= 0x000000BF
            return (c & 0x0000003F) | ((c & 0x00001F00) >> 2)
        end
    end

bkamins

bkamins

# K. Growiec, J. Growiec, B. Kamiński
# Social Network Structure and The Trade-Off Between Social Utility and Economic Performance

# Simulation experiment design generation file

library(randtoolbox)

size <- 65536
s_design <- sobol(size, 9, TRUE, 3, 4711, FALSE)
colnames(s_design) <- c("r", "p", "lambda", "sigma", "rho",

bkamins

bkamins

Asian option pricing using Monte-Carlo simulation using multi-threading in Julia

JuliaCon 2018

Bogumił Kamiński

http://bogumilkaminski.pl/about

rand is not thread safe

bkamins

using Random

function setup(density)
    [x == 1 ? 2 : rand() < density ? 1 : 0 for x in 1:251, y in 1:251]
end

function go(grid)
    any(isequal(2), grid) || return true
    for pos in shuffle!(findall(isequal(2), grid))
        x, y = pos[1], pos[2]