Projects
-
fast-options-pricer
A header-only C++20 library that prices European options under Black–Scholes three ways, in closed form, by Monte Carlo and by Crank–Nicolson finite differences.
Hard part: Making the slow methods fast and accurate. Antithetic and control variates cut Monte Carlo variance roughly 20–100×, and a Rannacher-started, pre-factored Crank–Nicolson solver prices an 800×200 grid in about 0.6 ms.
-
fbm-fast-pricers
A Monte Carlo pricer for arithmetic Asian calls under rough fractional stochastic volatility, comparing three ways to sample fractional Brownian motion.
Hard part: Path generation dominates the cost. Circulant embedding with FFT overtakes dense Cholesky at about 250 time steps and is 7.6× faster at 4,000; a low-rank rSVD sampler is faster still but underprices by about 4%.
-
stratum
A three-layer, Hyrule-inspired map for deep technical study, starting with HPC. You clear shrines by committing a small build and a write-up, and the map is rendered from the repo.
Hard part: Keeping the repository as the only source of truth, with no database or browser storage, while rendering a 217-entry, 22-region world as an explorable map.
-
orderbook-reconstructor
Rebuilds a 10-level market-by-price order book from a Databento market-by-order feed, with a parser, a reconstruction engine and a writer.
Hard part: Parsing a high-volume feed without allocating, using string_view fields over a fixed 256-byte line buffer sized from the maximum field lengths.
-
the_hack_computer
The nand2tetris computer built from logic gates up, covering the ALU, memory, CPU and a working computer, plus an assembler written in Python.
Hard part: Building every layer only from the one below it, from NAND gates through the CPU to an assembler for its instruction set.