A Rust JIT compiler that specialises Bismut-Elworthy-Li formulas into SIMD kernels for unbiased Monte Carlo Greeks on non-stationary SDEs.
Bismut-Elworthy-Li weight synthesis for elworthy.
Runtime kernel cache, SIMD RNG, and dispatch for elworthy.
Symbolic differentiation for elworthy expression trees.
Cranelift lowering of elworthy expression trees.
Symbolic expression AST, canonicalisation, and CSE for elworthy.
Stochastic analysis on manifolds: orthonormal frame bundle, horizontal lift, Stratonovich development. Foundation for Eells-Elworthy-Malliavin Brownian motion and Bismut-Elworthy-Li Greeks.
Riemannian geometry, manifold optimization, and geodesic computation in Rust