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

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

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