On the implementation of multilevel Monte Carlo simulation of the stochastic volatility and interest rate model using multi-GPU clusters (Q1713864)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the implementation of multilevel Monte Carlo simulation of the stochastic volatility and interest rate model using multi-GPU clusters |
scientific article |
Statements
On the implementation of multilevel Monte Carlo simulation of the stochastic volatility and interest rate model using multi-GPU clusters (English)
0 references
30 January 2019
0 references
stochastic volatility
0 references
stochastic interest rate
0 references
multilevel Monte Carlo
0 references
GPU
0 references
multi-node GPU cluster
0 references
