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HPC-QuantLib

Month: December 2014

QuantLib User Meeting 2014

December 8, 2014December 20, 2016 hpcquantlibLeave a comment

Please find here Johannes and my talk about “Stochastic Local Volatility Calibration in QuantLib” given at year’s QuantLib User Meeting in Düsseldorf

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A novel Control Variate for the Heston Model
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Almost exact SABR Interpolation using Neural Networks and Gradient Boosted Trees

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