On the implementation of multilevel Monte Carlo simulation of the stochastic volatility and interest rate model using multi-GPU clusters
type: Item
instance of: scholarly article
title: On the implementation of multilevel Monte Carlo simulation of the stochastic volatility and interest rate model using multi-GPU clusters
zbMATH Open document ID: 1405.65015
author: Harold A. Lay
author: Zane Colgin
author: V. Reshniak
author: A. Q. M. Khaliq
published in: Monte Carlo Methods and Applications
publication date: 2019-01-30T00:00:00Z
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 65Y10
Mathematics Subject Classification ID: 91G30
zbMATH DE Number: 7008426
zbMATH Keywords: stochastic volatility
zbMATH Keywords: stochastic interest rate
zbMATH Keywords: multilevel Monte Carlo
zbMATH Keywords: GPU
zbMATH Keywords: multi-node GPU cluster
MaRDI profile type: Publication
full work available at URL: mcma-2018-2025
OpenAlex ID: W2899143896
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DOI: 10.1515/MCMA-2018-2025
description: scientific article; zbMATH DE number 7008426