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GTC ON-DEMAND

Finance
Presentation
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Correlated Paths for Monte Carlo Simulations
Speakers:
Thomas Bradley
- NVIDIA
Abstract:
Learn how the GPU can be deployed to generated correlated paths for Monte Carlo simulation. Using Asian Basket options as an example, the session shows the generation of correlated paths with a local volatility model for each of the underlying assets. Once the paths have been computed, the payoff in each scenario is computed and reduced to determine the expected value, all on the GPU.
 
Topics:
Finance
Type:
Talk
Event:
GTC Silicon Valley
Year:
2010
Session ID:
S102064
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