Matthew Dixon, Jörg Lotze, Mohammad Zubair. A portable and fast stochastic volatility model calibration using multi and many-core processors. In David Daly, Matthew Dixon, José E. Moreira, editors, Proceedings of the 7th Workshop on High Performance Computational Finance, WHPCF '14, New Orleans, Louisiana, USA, November 16-21, 2014. pages 23-28, IEEE, 2014. [doi]
Abstract is missing.