Monte Carlo implementation of financial simulation on Cell/B.E. multi-core processor.

Published in: Math. Comput. Simul. (2010)

Keyphrases

monte carlo
monte carlo simulation
multi core processors
markov chain
monte carlo methods
importance sampling
particle filter
efficient implementation
markovian decision
matrix inversion
variance reduction
search algorithm
genetic algorithm
monte carlo tree search
adaptive sampling
search space
machine learning