A portable, extensible and fast stochastic volatility model calibration using multi and many-core processors

Matthew Dixon, Jörg Lotze, Mohammad Zubair. A portable, extensible and fast stochastic volatility model calibration using multi and many-core processors. Concurrency - Practice and Experience, 28(3):866-877, 2016. [doi]

Authors

Matthew Dixon

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Jörg Lotze

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Mohammad Zubair

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