On the implementation of multilevel Monte Carlo simulation of the stochastic volatility and interest rate model using multi-GPU clusters (Q1713864)
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scientific article; zbMATH DE number 7008426
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| English | On the implementation of multilevel Monte Carlo simulation of the stochastic volatility and interest rate model using multi-GPU clusters |
scientific article; zbMATH DE number 7008426 |
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On the implementation of multilevel Monte Carlo simulation of the stochastic volatility and interest rate model using multi-GPU clusters (English)
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30 January 2019
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stochastic volatility
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stochastic interest rate
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multilevel Monte Carlo
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GPU
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multi-node GPU cluster
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