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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.

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A novel Control Variate for the Heston Model
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Commodity CUDA cusp Finite Difference Methods Monte-Carlo MPI Optimization QuantLib Quasi Monte-Carlo R Scala

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