Javier Alejandro Varela, Claus Kestel, Christian de Schryver, Norbert Wehn, Sascha Desmettre, Ralf Korn. Optimization strategies for portable code for Monte Carlo-based value-at-risk systems. In Proceedings of the 8th Workshop on High Performance Computational Finance, WHPCF 2015, Austin, Texas, USA, November 15, 2015. ACM, 2015. [doi]
Abstract is missing.