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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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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.

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A novel Control Variate for the Heston Model
High Performance American Option Pricing
Andreasen-Huge Volatility Interpolation
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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.

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