Modeling Multi-factor Financial Derivatives by a Partial Differential Equation Approach with Efficient Implementation on Graphics Processing Units
This thesis develops efficient modeling frameworks via a Partial Differential Equation (PDE) approach for multi-factor financial derivatives, with emphasis on three-factor models, and studies highly efficient implementations of the numerical methods on novel high-performance computer architectures,...
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| Language: | en_ca |
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2012
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| Online Access: | http://hdl.handle.net/1807/42485 |