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Calibration of stochastic volatility models on a multi-core CPU cluster

Matthew Dixon, Mohammad Zubair. Calibration of stochastic volatility models on a multi-core CPU cluster. In Proceedings of WHPCF'13: 6th Workshop on High Performance Computational Finance, co-located with SC13, Denver, CO, USA, November 17-22, 2013. pages 6, ACM, 2013. [doi]

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Matthew Dixon

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Mohammad Zubair

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