Skip to content
  • Home
  • About
Search
Close

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

Recent Posts

  • High Performance American Option Pricing
  • Python, QuantLib and Multi-Threading
  • 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.

Archives

  • October 2022
  • November 2021
  • May 2021
  • August 2020
  • May 2020
  • November 2019
  • October 2019
  • January 2019
  • August 2018
  • June 2018
  • January 2018
  • August 2017
  • June 2017
  • May 2017
  • December 2016
  • November 2016
  • September 2016
  • May 2016
  • February 2016
  • January 2016
  • December 2015
  • September 2015
  • April 2015
  • February 2015
  • January 2015
  • December 2014
  • May 2014
  • February 2014
  • December 2013
  • July 2013
  • May 2013
  • February 2013
  • December 2012
  • September 2012
  • August 2012
  • June 2012
  • May 2012
  • April 2012
  • February 2012
  • January 2012
  • December 2011
  • November 2011
  • October 2011
  • September 2011
  • August 2011
  • June 2011
  • May 2011

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

  • A novel Control Variate for the Heston Model
  • High Performance American Option Pricing
  • Andreasen-Huge Volatility Interpolation
  • About
  • Probability Distribution of the Heston Model, Part I
  • QuantLib-SWIG and a Thread-Safe Observer Pattern in C++
  • Fokker-Planck Forward Equation for the Heston Model
  • Probability Distribution of the Heston Model, Part II
  • Andersen-Piterbarg Integration Limits for the Time Dependent Heston Model
  • Optimized Heston Model Integration: Exponentially-Fitted Gauss-Laguerre Quadrature Rule.
Blog at WordPress.com.
Back to top
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
  • Follow Following
    • HPC-QuantLib
    • Join 56 other followers
    • Already have a WordPress.com account? Log in now.
    • HPC-QuantLib
    • Customize
    • Follow Following
    • Sign up
    • Log in
    • Report this content
    • View site in Reader
    • Manage subscriptions
    • Collapse this bar