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Economics / Graphics hardware / GPGPU / Interest rates / Options / CUDA / LIBOR market model / Yield curve / Risk-neutral measure / Financial economics / Mathematical finance / Finance


KOODERIVE: MULTI-CORE GRAPHICS CARDS, THE LIBOR MARKET MODEL, LEAST-SQUARES MONTE CARLO AND THE PRICING OF CANCELLABLE SWAPS MARK S. JOSHI Abstract. We discuss the pricing of cancellable swaps using the displaced diffusi
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Document Date: 2014-04-02 01:38:24

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Company

NVIDIA / GPU / Intel / /

Facility

The Brownian bridge / Thrust library / R17 library / /

IndustryTerm

cancellable products / software tool / raw computing power / predictor-corrector algorithm / evolution algorithm / backwards inductive algorithm / /

OperatingSystem

GNU / /

Person

Jäckel / MARK S. JOSHI / Oh Kang Kwon / Jacques Du Toit / /

Position

Hunter / Cao / calibrator / /

ProgrammingLanguage

C++ / Visual C++ / /

ProvinceOrState

Manitoba / /

Technology

backwards inductive algorithm / predictor-corrector algorithm / simulation / shared memory / evolution algorithm / Brickman algorithm / /

URL

http /

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