Benchmark a given function for variable input sizes and find out its time complexity

Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.

Framework for estimating parameters and the empirical sandwich covariance matrix from a set of unbiased estimating equations (i.e. M-estimation) in R.

Estimating route conditional travel time and its uncertainty.

Code for the papers "Faster Lead-Acid Battery Simulations from Porous Electrode Theory"

MATH3022 Scientific and Industrial Modelling at UWA

We derive asymptotic behavior of the probability of high-level excursion for the maximal increment of the Wiener process.

We derive asymptotic behavior of the probability of high-level excursion for the maximal increment of a Gaussian random walk.

Random Data Structures & Algorithms code

Code for "Cross-Over Jackknife Bias Correction for Nonlinear/Nonstationary Panel" (with Victor Chernozhukov and Ivan Fernandez-Val)