/joshi-opt-val

A lightweight app showcasing my research with WebAssembly and financial option valuations with the Monte Carlo method.

Primary LanguageJavaScript

Option Valuations with Monte Carlo

Run npm start to view the sample application in dev mode.

This application was developed slowly over the course of perhaps 8 months. I started by reading Mark Joshi's book titled C++ Design Patterns and Derivatives Pricing. My current progress is only 4 chapters in, but I managed to get the code running on nearly every step. The backend for this application is based on the book's chapter 2 codebase.

Understanding the speed of C++ and its prevalence in the finance community, I wondered if I could use the codebase with a prototype technology known as WebAssembly.