FiNS: A Framework for Accelerating Nested Simulations on Heterogeneous Platforms-Reference-Cited by-同舟云学术

FiNS: A Framework for Accelerating Nested Simulations on Heterogeneous Platforms

Published:2015 Issue: Volume: Page:246-257
ISSN:0302-9743
Container-title:Euro-Par 2015: Parallel Processing Workshops
language:
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Author:

Cramwinckel Joris,Singor Stefan,Varbanescu Ana Lucia

Publisher

Springer International Publishing

Link

http://link.springer.com/content/pdf/10.1007/978-3-319-27308-2_21

Reference20 articles.

1. Abbas-Turki, L., Vialle, S., Lapeyre, B., Mercier, P.: Pricing derivatives on graphics processing units using monte carlo simulation. Concurr. Comput.: Pract. Exp. 26(9), 1679–1697 (2014). http://dx.doi.org/10.1002/cpe.2862

2. Augonnet, C., Thibault, S., Namyst, R., Wacrenier, P.A.: StarPU: a unified platform for task scheduling on heterogeneous multicore architectures. Concurr. Comput.: Pract. Exp. 23(2), 187–198 (2011)

3. Bauer, D., Reuss, A., Singer, D.: On the calculation of the solvency capital requirement based on nested simulations. Astin Bull. 42(02), 453–499 (2012)

4. Bernemann, A., Schreyer, R., Spanderen, K.: Accelerating exotic option pricing and model calibration using gpus (2011). http://ssrn.com/abstract=1753596

5. Cramwinckel, J.: GPU Accelerated framework for financial nested simulations. Master’s thesis. VU University Amsterdam (2015)

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