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ORCIDWHPCF@SC 2013: Denver, CO, USA
- Proceedings of WHPCF'13: 6th Workshop on High Performance Computational Finance, co-located with SC13, Denver, CO, USA, November 17-22, 2013. ACM 2013, ISBN 978-1-4503-2507-3
- Alexander Heinecke, Jacob Jepsen, Hans-Joachim Bungartz:
Many-core architectures boost the pricing of basket options on adaptive sparse grids. 1:1-1:9 - Aurelien Cassagnes, Yu Chen, Hirotada Ohashi:
Heterogeneous COS pricing of rainbow options. 2:1-2:7 - Blesson Varghese, Andrew Rau-Chaplin
:
Accounting for secondary uncertainty: efficient computation of portfolio risk measures on multi and many core architectures. 3:1-3:10 - Fábio Daros Freitas, Christian Daros Freitas, Alberto Ferreira de Souza:
System architecture for on-line optimization of automated trading strategies. 4:1-4:8 - Massimiliano Fatica, Everett H. Phillips:
Pricing American options with least squares Monte Carlo on GPUs. 5:1-5:6 - Matthew Dixon, Mohammad Zubair:
Calibration of stochastic volatility models on a multi-core CPU cluster. 6:1-6:7 - Andrey Nikolaev, Ilya Burylov, Sania Salahuddin:
Intel® version of STAC-A2 benchmark: toward better performance with less effort. 7:1-7:7 - Amy Wang, Jan Treibig, Bob Blainey, Peng Wu, Yaoqing Gao, Barnaby Dalton, Danny Gupta, Fahham Khan, Neil Bartlett, Lior Velichover, James Sedgwick, Louis Ly:
Optimizing IBM algorithmics' mark-to-future aggregation engine for real-time counterparty credit risk scoring. 8:1-8:8
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