14 post articles, 2 pages.
Welcome to My Blog
Welcome to my blog—a space to explore ideas in math and algorithms without any pretense. Here, I'm going to share posts on interesting research papers, intriguing computational problems, and more. I’m currently considering features like monthly quizzes to keep things interactive. My goal is to create a friendly, accessible environment where we can all learn and discuss these topics together.
Feedback and participation are always welcome. In the future, I plan on adding Gitalk for comments and a Discord server for discussions.
JAX - Automatic Differentiation and JIT Compilation
JAX JIT Compilation and Autograd: Understanding the Basics
1. JAX JIT Compilation:
In JAX, Just-In-Time (JIT) compilation is a powerful optimization technique
that speeds up the execution of functions by compiling them into efficient machine code.
When you apply jax.jit to a function, JAX transforms it into a highly optimized,
low-level repres...
Quantitative Training - Month 1
Part 1: Fundamental Exercises
Exercise 1: Differentiation in Option Pricing
The Black-Scholes price for a European call option is given by:
\[
C = S_0 N(d_1) - K e^{-rT} N(d_2),
\]
where \( d_1 \) and \( d_2 \) are:
\[
d_1 = \frac{\ln(S_0/K) + (r + \sigma^2/2)T}{\sigma\sqrt{T}},
d_2 = d_1 - \sigma\sqrt{T}.
\]
Compute \( \frac{\partial C}{...