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

DOI10.1515/MCMA-2018-2025zbMATH Open1405.65015OpenAlexW2899143896MaRDI QIDQ1713864FDOQ1713864

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

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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)

Cites Work

• The pricing of options and corporate liabilities
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• Title not available (Why is that?)
• Higher-order implicit strong numerical schemes for stochastic differential equations
• Multilevel Monte Carlo Path Simulation
• Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation
• Multilevel Path Simulation for Jump-Diffusion SDEs
• On the Heston Model with Stochastic Interest Rates
• Multilevel Monte Carlo for continuous time Markov chains, with applications in biochemical kinetics
• Improved multilevel Monte Carlo convergence using the Milstein scheme
• Variable Step Size Control in the Numerical Solution of Stochastic Differential Equations
• Multilevel Monte Carlo method with applications to stochastic partial differential equations
• The optimal uniform approximation of systems of stochastic differential equations
• Higher-order time integration of Coulomb collisions in a plasma using Langevin equations
• Random Generation of Stochastic Area Integrals
• Joint characteristic function and simultaneous simulation of iterated Itô integrals for multiple independent Brownian motions
• On the simulation of iterated Itô integrals.
• The approximation of multiple stochastic integrals
• Efficient almost-exact Lévy area sampling

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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