On the implementation of multilevel Monte Carlo simulation of the stochastic volatility and interest rate model using multi-GPU clusters

DOI10.1515/mcma-2018-2025zbMath1405.65015MaRDI QIDQ1713864

Abdul Q. M. Khaliq, Harold A. Lay, Zane Colgin, Viktor Reshniak

Publication date: 30 January 2019

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma-2018-2025

zbMATH Keywords

stochastic volatility; stochastic interest rate; multilevel Monte Carlo; GPU; multi-node GPU cluster

Mathematics Subject Classification ID

91G30: Interest rates, asset pricing, etc. (stochastic models)

65C30: Numerical solutions to stochastic differential and integral equations

65Y10: Numerical algorithms for specific classes of architectures