Thomas Luu

University College London

Gower Street

London, WC1E 6BT

United Kingdom

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Scholarly Papers (1)

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Quantile Mechanics II: Changes of Variables in Monte Carlo Methods and GPU-Optimized Normal Quantiles

Number of pages: 31 Posted: 07 Dec 2011
University College London, University College London and affiliation not provided to SSRN
Downloads 129 (406,286)
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Abstract:

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CUDA, Monte Carlo, student, hyperbolic, variance gamma, computational finance, quantile mechanics, normal quantile, Gaussian quantile, GPU, Acklam, AS241, inverse error function, erfinv, inverse CDF, probit