Skip to content

Home
About

Search for:

Close

HPC-QuantLib

Month: December 2013

QuantLib User Meeting 2013

December 1, 2013December 1, 2013 hpcquantlibLeave a comment

Please find here my talk “Beyond Simple Monte-Carlo: Parallel Computing with QuantLib” at this year’s QuantLib User Meeting in Düsseldorf.

Search for:

Recent Posts

A novel Control Variate for the Heston Model
Optimized Heston Model Integration: Exponentially-Fitted Gauss-Laguerre Quadrature Rule.
Moment Matching Option Pricing: A Case Study
Running QuantLib on a FPGA based RISC-V System
Almost exact SABR Interpolation using Neural Networks and Gradient Boosted Trees

Archives

Categories

Commodity
CUDA
cusp
Finite Difference Methods
Monte-Carlo
MPI
Optimization
QuantLib
Quasi Monte-Carlo
R
Scala

Commodity CUDA cusp Finite Difference Methods Monte-Carlo MPI Optimization QuantLib Quasi Monte-Carlo R Scala

Top Posts & Pages

Andreasen-Huge Volatility Interpolation
The Sobol Brownian Bridge Generator on a GPU
Fokker-Planck Forward Equation for the Heston Model
Probability Distribution of the Heston Model, Part I
Probability Distribution of the Heston Model, Part II
Scrambled Sobol Sequences
Monte-Carlo Calibration of the Heston Stochastic Local Volatiltiy Model

Blog at WordPress.com.

Privacy & Cookies: This site uses cookies. By continuing to use this website, you agree to their use.
To find out more, including how to control cookies, see here: Cookie Policy