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HPC-QuantLib

Month: December 2016

QuantLib User Meeting 2016

December 20, 2016December 21, 2016 hpcquantlibLeave a comment

Please find here my talk about the Collocating Local Volatility Model at this year’s QuantLib User Meeting in Düsseldorf, Germany. The source code is also available.

Recent Posts

  • 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
  • Almost exact SABR Interpolation using Neural Networks and Gradient Boosted Trees

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Top Posts & Pages

  • Andreasen-Huge Volatility Interpolation
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  • Fokker-Planck Forward Equation for the Heston Model
  • Probability Distribution of the Heston Model, Part I
  • Probability Distribution of the Heston Model, Part II
  • Scrambled Sobol Sequences
  • Monte-Carlo Calibration of the Heston Stochastic Local Volatiltiy Model
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