Pyvorin for Monte Carlo Methods

Random Sampling

Generate and score millions of random samples with compiled loops.

def monte_carlo_pi(n):
    inside = 0
    for _ in range(n):
        x = random.random()
        y = random.random()
        if x*x + y*y <= 1:
            inside += 1
    return 4 * inside / n

Integration

High-dimensional numerical integration.

Option Pricing

Black-Scholes and path-dependent option valuation.