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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.

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

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

Top Posts & Pages

  • VPP Pricing III: Exact Pricing based on Finite Difference Methods
  • The Hybrid Heston-Hull-White Model in the H1HW Approximation
  • Solving Sparse Linear Systems using CUSP and CUDA
  • QuantLib-SWIG and a Thread-Safe Observer Pattern in C++
  • Fokker-Planck Equation, Feller Constraint and Boundary Conditions
  • Probability Distribution of the Heston Model, Part II
  • Monte-Carlo Calibration of the Heston Stochastic Local Volatiltiy Model
  • Building R Packages with Rcpp and QuantLib on Windows
  • New Semi-Analytic Heston Pricing Algorithms
  • Finite-Difference Solver for the SABR Model
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