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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.

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High Performance American Option Pricing
Python, QuantLib and Multi-Threading
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A novel Control Variate for the Heston Model
Optimized Heston Model Integration: Exponentially-Fitted Gauss-Laguerre Quadrature Rule.

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