A heterogeneous computing approach to simulation of the Heston Stochastic Volatility Model
Lindsay, Kenneth & Warne, David (2015) A heterogeneous computing approach to simulation of the Heston Stochastic Volatility Model. In 12th Engineering Mathematics and Applications Conference, 6-9 December 2015, University of South Australia, S.A. (Unpublished)
Stochastic volatility models are of fundamental importance to the pricing of derivatives. One of the most commonly used models of stochastic volatility is the Heston Model in which the price and volatility of an asset evolve as a pair of coupled stochastic differential equations. The computation of asset prices and volatilities involves the simulation of many sample trajectories with conditioning. The problem is treated using the method of particle filtering. While the simulation of a shower of particles is computationally expensive, each particle behaves independently making such simulations ideal for massively parallel heterogeneous computing platforms. In this paper, we present our portable Opencl implementation of the Heston model and discuss its performance and efficiency characteristics on a range of architectures including Intel cpus, Nvidia gpus, and Intel Many-Integrated-Core (mic) accelerators.
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|Item Type:||Conference Item (Presentation)|
|Keywords:||Stochastic Volatility, Parameter Inference, Particle Filtering, Open Computing Language, Heterogeneous Computing|
|Subjects:||Australian and New Zealand Standard Research Classification > MATHEMATICAL SCIENCES (010000) > APPLIED MATHEMATICS (010200) > Financial Mathematics (010205)
Australian and New Zealand Standard Research Classification > MATHEMATICAL SCIENCES (010000) > STATISTICS (010400) > Stochastic Analysis and Modelling (010406)
|Divisions:||Current > QUT Faculties and Divisions > QUT Business School
Current > Research Centres > High Performance Computing and Research Support
Current > Schools > School of Mathematical Sciences
Current > QUT Faculties and Divisions > Science & Engineering Faculty
Current > Schools > School of Economics & Finance
|Copyright Owner:||Copyright 2015 The Author(s)|
|Deposited On:||07 Mar 2016 01:02|
|Last Modified:||07 Mar 2016 01:02|
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