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On the implementation of multilevel Monte Carlo simulation of the stochastic volatility and interest rate model using multi-GPU clusters.
Harold A. Lay
Zane Colgin
Viktor Reshniak
Abdul Q. M. Khaliq
Published in:
Monte Carlo Methods Appl. (2018)
Keyphrases
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monte carlo simulation
monte carlo
computational model
markov chain
real time
similarity measure
stochastic nature
neural network
objective function
artificial neural networks
mathematical model
stochastic programming