Mohammed Zubair

Old Dominion University

Norfolk, VA 23529-0222

United States

SCHOLARLY PAPERS

5

DOWNLOADS

547

CITATIONS

4

Scholarly Papers (5)

1.

gpusvcalibration: A R Package for Fast Stochastic Volatility Model Calibration Using GPUs

Number of pages: 10 Posted: 13 Feb 2014
Matthew Francis Dixon, Sabbir Khan and Mohammed Zubair
Illinois Institute of Technology, Old Dominion University and Old Dominion University
Downloads 175 (169,431)

Abstract:

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2.

Accelerating Option Risk Analytics in R Using GPUs

Number of pages: 7 Posted: 26 Nov 2013 Last Revised: 12 Feb 2014
Matthew Francis Dixon, Sabbir Khan and Mohammed Zubair
Illinois Institute of Technology, Old Dominion University and Old Dominion University
Downloads 150 (193,228)
Citation 1

Abstract:

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Stochastic Volatility, Calibration, R, GPGPU computing

3.

Calibration of Stochastic Volatility Models on a Multi-Core CPU Cluster

Number of pages: 7 Posted: 05 Nov 2013
Matthew Francis Dixon and Mohammed Zubair
Illinois Institute of Technology and Old Dominion University
Downloads 115 (237,737)
Citation 3

Abstract:

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Calibration, Stochastic Volatility, Distributed Algorithms

4.

A Portable and Fast Stochastic Volatility Model Calibration Using Multi and Many-Core Processors

Number of pages: 6 Posted: 06 Oct 2014
Matthew Francis Dixon, Jorg Lotze and Mohammed Zubair
Illinois Institute of Technology, Xcelerit and Old Dominion University
Downloads 57 (361,434)

Abstract:

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Calibration, Stochastic Volatility, GPGPU

5.

BLAS Extensions for Algebraic Pricing Methods

Proceeding PPAA 2015 Proceedings of the 2nd Workshop on Parallel Programming for Analytics Applications Pages 25-30 ACM New York, NY, USA ©2015
Number of pages: 6 Posted: 06 Nov 2014 Last Revised: 30 Sep 2015
Paolo Regondi, Mohammed Zubair and Claudio Albanese
Global Valuation Ltd, Old Dominion University and Global Valuation
Downloads 50 (383,702)

Abstract:

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GPU, CUDA, PDE, BLAS, backward induction, forward induction