Aurelien Cassagnes

Publication Activity (10 Years)

Years Active: 2013-2015
Publications (10 Years): 1

Top Topics

Double Exponential

Monte Carlo Simulation

Top Venues

Intell. Syst. Account. Finance Manag.

Concurr. Comput. Pract. Exp.

Publications

Aurelien Cassagnes, Yu Chen, Hirotada Ohashi
Shuffle up and deal: accelerating GPGPU Monte Carlo simulation with application to option pricing. Concurr. Comput. Pract. Exp. 27 (17) (2015)
Aurelien Cassagnes, Yu Chen, Hirotada Ohashi
Heterogeneous Computation of Rainbow Option prices using Fourier cosine Series Expansion under a mixed CPU-GPU Computation Framework. Intell. Syst. Account. Finance Manag. 21 (2) (2014)
Aurelien Cassagnes, Yu Chen, Hirotada Ohashi
Heterogeneous COS pricing of rainbow options. WHPCF@SC (2013)