On the implementation of multilevel Monte Carlo simulation of the stochastic volatility and interest rate model using multi-GPU clusters

DOI10.1515/mcma-2018-2025zbMath1405.65015OpenAlexW2899143896MaRDI QIDQ1713864

Zane Colgin, Harold A. Lay, Viktor Reshniak, Abdul Q. M. Khaliq

Publication date: 30 January 2019

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma-2018-2025

zbMATH Keywords

stochastic volatilitystochastic interest ratemultilevel Monte CarloGPUmulti-node GPU cluster

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Numerical solutions to stochastic differential and integral equations (65C30) Numerical algorithms for specific classes of architectures (65Y10)

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