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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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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
Finite-Difference Solver for the SABR Model

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The Hybrid Heston-Hull-White Model in the H1HW Approximation
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Finite Difference Schemes for the Heston-Hull-White Model
Monte-Carlo Calibration of the Heston Stochastic Local Volatiltiy Model
Finite-Difference Solver for the SABR Model
Almost exact SABR Interpolation using Neural Networks and Gradient Boosted Trees

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