Kooderive: Multi-Core Graphics Cards, the Libor Market Model, Least-Squares Monte Carlo and the Pricing of Cancellable Swaps

18 Pages Posted: 3 Feb 2014 Last revised: 2 Jun 2014

See all articles by Mark S. Joshi

Mark S. Joshi

University of Melbourne - Centre for Actuarial Studies (deceased)

Date Written: February 11, 2014

Abstract

We discuss the pricing of cancellable swaps using the displaced diffusion LIBOR market model using a multi-core graphics card. We demonstrate that over one hundred times speed up can be achieved in a realistic case.

Keywords: GPU, Bermudan derivatives, Monte Carlo simulation, Kooderive

Suggested Citation

Joshi, Mark, Kooderive: Multi-Core Graphics Cards, the Libor Market Model, Least-Squares Monte Carlo and the Pricing of Cancellable Swaps (February 11, 2014). Available at SSRN: https://ssrn.com/abstract=2388415 or http://dx.doi.org/10.2139/ssrn.2388415

Mark Joshi (Contact Author)

University of Melbourne - Centre for Actuarial Studies (deceased) ( email )

Melbourne, 3010
Australia

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