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A portable, extensible and fast stochastic volatility model calibration using multi and many-core processors.
Matthew Dixon
Jörg Lotze
Mohammad Zubair
Published in:
Concurr. Comput. Pract. Exp. (2016)
Keyphrases
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computational model
formal model
probabilistic model
mathematical model
experimental data
hybrid model
high level
objective function
simulation model
stochastic model
scheduling problem
robust optimization
stochastic process
cooperative game