Workshop on high‐performance computational finance-Reference-Cited by-同舟云学术

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Workshop on high‐performance computational finance

Published:2015-12-21 Issue:3 Volume:28 Page:834-835
ISSN:1532-0626
Container-title:Concurrency and Computation: Practice and Experience
language:en
Short-container-title:Concurrency Computat.: Pract. Exper.

Author:

Dixon Matthew¹,Moreira Jose²,Daly David²

Affiliation:

1. Department of Finance Illinois Institute of Technology Chicago IL 60616

2. IBM TJ Watson Research Center 1101 Kitchawan Rd Yorktown Heights NY 10598

Publisher

Wiley

Subject

Computational Theory and Mathematics,Computer Networks and Communications,Computer Science Applications,Theoretical Computer Science,Software

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/cpe.3738

Reference8 articles.

1. Computing probable maximum loss in catastrophe reinsurance portfolios on multi-core and many-core architectures

2. Accelerating Asian option pricing on many-core architectures

3. A portable, extensible and fast stochastic volatility model calibration using multi and many-core processors

4. STAC-A2 on Intel architecture: evolving from scalar code to heterogeneous applications

5. Precision-tuning and hybrid pricer for closed-form solution-based Heston calibration

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