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

DOI10.1016/S0167-8191(99)00120-9zbMATH Open0939.91055MaRDI QIDQ1978671FDOQ1978671

Authors: C. Godart 

Publication date: 4 June 2000

Published in: Parallel Computing (Search for Journal in Brave)

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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)

Cited In (1)

• An efficient parallel implementation of a lattice pricing model

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