Mortgage-Backed-Securities (MBS), as the largest investment class of fixed income securities, have always been hard to price. Because of the following reasons, normal numerical me...
High performance computing is critical for financial markets where analysts seek to accelerate complex optimizations such as pricing engines to maintain a competitive edge. In th...
We study the problem of multivariate integration on the unit cube for unbounded integrands. Our study is motivated by problems in statistics and mathematical finance, where unboun...
Benjamin J. Waterhouse, Frances Y. Kuo, Ian H. Slo...
It has been shown that the sparse grid combination technique can be a practical tool to solve high dimensional PDEs arising in multidimensional option pricing problems in finance...
—Computational performance increasingly depends on parallelism, and many systems rely on heterogeneous resources such as GPUs and FPGAs to accelerate computationally intensive ap...
Marcin Bogdanski, Peter R. Lewis, Tobias Becker, X...