Category Archives: Includes R code

Brownian Bridge Code

Posted on March 9, 2011 by David

Got a small amount of work on this project done. This is some code that I’ve written based on the algorithm in Monte Carlo Methods in Financial Engineering by Paul Glasserman: # Implementation a Brownian Bridge. # by David Blankley … Continue reading →

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Building the header

Posted on December 29, 2010 by David

This morning I built the header image in R. I cheated a little and also used MS Paint to crop the image and get right up to the edges. The graph is simply the pdf of the normal(0,1) built with … Continue reading →

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