Beyond Simple Monte-Carlo: Parallel Computing with QuantLib
Beyond Simple Monte-Carlo: Parallel Computing with QuantLib
Beyond Simple Monte-Carlo: Parallel Computing with QuantLib
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Example III: Virtual Power PlantKluge model (two OU processes plus jump diffusion) leads to athree dimensional partial integro differential equation:rV = ∂V∂t + σ2 x2∂ 2 V ∂V− αx∂x 2 ∂x− βy∂V∂y+ σ2 u ∂ 2 V ∂V− κu2 ∂u2 ∂u + ρσ ∂ 2 Vxσ u∂x∂u∫+ λ (V (x, y + z, u, t) − V (x, y, u, t)) ω(z)dzRDue to the integro part the equation is not truly a sparse matrix.Klaus Spanderen<strong>Beyond</strong> <strong>Simple</strong> <strong>Monte</strong>-<strong>Carlo</strong>: <strong>Parallel</strong> <strong>Computing</strong> <strong>with</strong> <strong>QuantLib</strong>
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