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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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Adaptive SOR Method for Implied Volatility Calculation
Andersen-Piterbarg Integration Limits for the Time Dependent Heston Model
New Semi-Analytic Heston Pricing Algorithms
QuantLib User Meeting 2016
The CLV Model with a Square Root Kernel Process

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Heston Model Calibration using Adjoint Algorithmic Differentiation
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