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

DOI10.1515/MCMA-2018-2025MaRDI QIDQ1713864zbMATH OpenOpenAlexFDO

Authors Harold A. Lay, Zane Colgin, V. Reshniak, A. Q. M. Khaliq

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 volatilitymultilevel Monte CarloGPUstochastic interest ratemulti-node GPU cluster

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Numerical algorithms for specific classes of architectures (65Y10)

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Cites work

• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation
• Efficient almost-exact Lévy area sampling
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Higher-order time integration of Coulomb collisions in a plasma using Langevin equations
• Improved multilevel Monte Carlo convergence using the Milstein scheme
• Joint characteristic function and simultaneous simulation of iterated Itô integrals for multiple independent Brownian motions
• Multilevel Monte Carlo Path Simulation
• Multilevel Monte Carlo for continuous time Markov chains, with applications in biochemical kinetics
• Multilevel Monte Carlo method with applications to stochastic partial differential equations
• Multilevel path simulation for jump-diffusion SDEs
• On the Heston model with stochastic interest rates
• On the simulation of iterated Itô integrals.
• Random Generation of Stochastic Area Integrals
• The approximation of multiple stochastic integrals
• The optimal uniform approximation of systems of stochastic differential equations
• The pricing of options and corporate liabilities
• Variable Step Size Control in the Numerical Solution of Stochastic Differential Equations

Cited in

(3)

• Decomposition of Gaussian processes, and factorization of positive definite kernels
• A modified walk‐on‐sphere method for high dimensional fractional Poisson equation
• Monte Carlo method for the Cauchy problem of fractional diffusion equation concerning fractional Laplacian

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