py-mlmc is a Python project dedicated to the implementation and testing of multi-level Monte Carlo (MLMC) methods and finite difference methods (FDM) for numerical simulations in finance. The project explores their applications, performance, and accuracy in solving financial problems.
To use this project, make sure you have Python installed and the required libraries. Install the dependencies using :
pip install numpy matplotlib scipyThe py_mlmc directory contains the core Python files. To run them, simply import the desired modules into your scripts or notebooks.
Navigate to the notebooks directory to explore the testing and validation notebooks:
tests_fdm.ipynb: Demonstrates and validates the FDM implementation.tests_mlmc.ipynb: Demonstrates and validates the MLMC implementation.
Launch the notebooks using :
jupyter notebook notebooks/tests_fdm.ipynb- Final Report: The report.pdf file provides detailed documentation of the project, including :
- Implementation details.
- Analysis of results.
- Research Paper: giles.mlmc.pdf is the reference research paper used to guide the MLMC implementation.
This project was collaboratively developed by :
- Paul-Antoine Leveilley
- Ryan Timeus
We welcome feedback and suggestions for improvements to this project.