Beyond Simple Monte-Carlo: Parallel Computing with QuantLib

Example I: Heston-Hull-White Model on GPUsSDE is defined bydS t = (r t − q t )S t dt + √ v t S t dW Stdv t = κ v (θ v − v t )dt + σ v√vt dW vtdr t = κ r (θ r,t − r t )dt + σ r dW rtρ Sv dt = dWt S dWtvρ Sr dt = dWt S dWtrρ vr dt = dWt v dWtrFeynman-Kac gives the corresponding PDE:∂u∂t= 1 2 S 2 ν ∂2 u∂S 2 + 1 2 σ2 νν ∂2 u∂ν 2 + 1 ∂ 2 u2 σ2 r∂r 2+ ρ Sν σ ν Sν ∂2 u∂S∂ν + ρ Sr σ r S √ ν ∂2 u∂S∂r + ρ √ ∂ 2 uvr σ r σ ν ν∂ν∂r+ (r − q)S ∂u∂S + κ v (θ v − ν) ∂u∂ν + κ r (θ r,t − r) ∂u∂r − ruKlaus SpanderenBeyond Simple Monte-Carlo: Parallel Computing with QuantLib