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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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Heston PDE Grid: How small can we make it?
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

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

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Optimized Heston Model Integration: Exponentially-Fitted Gauss-Laguerre Quadrature Rule.
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A novel Control Variate for the Heston Model
Finite-Difference Solver for the SABR Model
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Fokker-Planck Forward Equation for the Heston Model

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