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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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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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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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