Proceedings of the 6th Workshop on High Performance Computational Finance - WHPCF '13
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Published By ACM Press

9781450325073

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Accounting for secondary uncertainty

Proceedings of the 6th Workshop on High Performance Computational Finance - WHPCF '13 ◽

10.1145/2535557.2535562 ◽

2013 ◽

Cited By ~ 3

Author(s):

Blesson Varghese ◽

Andrew Rau-Chaplin

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Calibration of stochastic volatility models on a multi-core CPU cluster

Proceedings of the 6th Workshop on High Performance Computational Finance - WHPCF '13 ◽

10.1145/2535557.2535565 ◽

2013 ◽

Cited By ~ 7

Author(s):

Matthew Dixon ◽

Mohammad Zubair

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

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Pricing American options with least squares Monte Carlo on GPUs

Proceedings of the 6th Workshop on High Performance Computational Finance - WHPCF '13 ◽

10.1145/2535557.2535564 ◽

2013 ◽

Cited By ~ 12

Author(s):

Massimiliano Fatica ◽

Everett Phillips

Keyword(s):

Monte Carlo ◽

Least Squares ◽

American Options ◽

Least Squares Monte Carlo

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Many-core architectures boost the pricing of basket options on adaptive sparse grids

Proceedings of the 6th Workshop on High Performance Computational Finance - WHPCF '13 ◽

10.1145/2535557.2535560 ◽

2013 ◽

Cited By ~ 3

Author(s):

Alexander Heinecke ◽

Jacob Jepsen ◽

Hans-Joachim Bungartz

Keyword(s):

Sparse Grids ◽

Basket Options ◽

Many Core

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Heterogeneous COS pricing of rainbow options

Proceedings of the 6th Workshop on High Performance Computational Finance - WHPCF '13 ◽

10.1145/2535557.2535561 ◽

2013 ◽

Author(s):

Aurelien Cassagnes ◽

Yu Chen ◽

Hirotada Ohashi

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Optimizing IBM algorithmics' mark-to-future aggregation engine for real-time counterparty credit risk scoring

Proceedings of the 6th Workshop on High Performance Computational Finance - WHPCF '13 ◽

10.1145/2535557.2535567 ◽

2013 ◽

Cited By ~ 2

Author(s):

Amy Wang ◽

Lior Velichover ◽

James Sedgwick ◽

Louis Ly ◽

Jan Treibig ◽

...

Keyword(s):

Credit Risk ◽

Real Time ◽

Counterparty Credit Risk ◽

Risk Scoring

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Intel® version of STAC-A2 benchmark

Proceedings of the 6th Workshop on High Performance Computational Finance - WHPCF '13 ◽

10.1145/2535557.2535566 ◽

2013 ◽

Cited By ~ 5

Author(s):

Andrey Nikolaev ◽

Ilya Burylov ◽

Sania Salahuddin

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System architecture for on-line optimization of automated trading strategies

Proceedings of the 6th Workshop on High Performance Computational Finance - WHPCF '13 ◽

10.1145/2535557.2535563 ◽

2013 ◽

Cited By ~ 1

Author(s):

Fabio Daros Freitas ◽

Christian Daros Freitas ◽

Alberto Ferreira De Souza

Keyword(s):

System Architecture ◽

Trading Strategies ◽

On Line

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Proceedings of the 6th Workshop on High Performance Computational Finance - WHPCF '13Latest Publications

TOTAL DOCUMENTS

H-INDEX

Published By ACM Press

Accounting for secondary uncertainty

Calibration of stochastic volatility models on a multi-core CPU cluster

Pricing American options with least squares Monte Carlo on GPUs

Many-core architectures boost the pricing of basket options on adaptive sparse grids

Heterogeneous COS pricing of rainbow options

Optimizing IBM algorithmics' mark-to-future aggregation engine for real-time counterparty credit risk scoring

Intel® version of STAC-A2 benchmark

System architecture for on-line optimization of automated trading strategies

Proceedings of the 6th Workshop on High Performance Computational Finance - WHPCF '13
Latest Publications