Parallel implementation of a two-factor Cheyette-beta model calibration

DOI10.1016/S0167-8191(99)00120-9MaRDI QIDQ1978671zbMATH OpenFDO

Authors C. Godart

Publication date 4 June 2000

Published in Parallel Computing (Search for Journal in Brave)

zbMATH Keywords

load balancingparallelismmessage passingcalibration of interest rate modelsparallel event-driven application

Mathematics Subject Classification ID

Applications of statistics in engineering and industry; control charts (62P30)

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Cited in

(1)

• An efficient parallel implementation of a lattice pricing model

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