Skip to content

Home
About

Search for:

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

Advertisements

Search for:

Recent Posts

Finite-Difference Solver for the SABR Model
Compile QuantLib on an Android Mobile
Arbitrary Number of Stencil Points
Andreasen-Huge Volatility Interpolation
Adaptive SOR Method for Implied Volatility Calculation

Archives

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

Andreasen-Huge Volatility Interpolation
Monte-Carlo Calibration of the Heston Stochastic Local Volatiltiy Model
Bermudan Swaption Pricing based on Finite Difference Methods
Finite-Difference Solver for the SABR Model
The Collocating Local Volatility Model

Advertisements

Create a free website or blog at WordPress.com.

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