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Volumn , Issue , 2006, Pages 377-380

Hardware architectures for Monte-Carlo based financial simulations

Author keywords

[No Author keywords available]

Indexed keywords

COMPUTER SOFTWARE; COSTS; MATHEMATICAL MODELS; MONTE CARLO METHODS; RISK ANALYSIS;

EID: 43749121609     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/FPT.2006.270352     Document Type: Conference Paper
Times cited : (17)

References (11)
  • 1
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    • (1992) Econometrica , vol.60 , Issue.1 , pp. 77-105
    • Heath, D.1    Jarrow, R.2    Morton, A.3
  • 2
    • 0021138164 scopus 로고
    • Techniques for estimating the bit error rate in the simulation of digital communication systems
    • M. Jeruchim, "Techniques for estimating the bit error rate in the simulation of digital communication systems," IEEE Jour. on Selected Areas in Comms., vol. 2, pp. 153-170, 1984.
    • (1984) IEEE Jour. on Selected Areas in Comms , vol.2 , pp. 153-170
    • Jeruchim, M.1
  • 3
    • 0023861321 scopus 로고
    • Efficient techniques for the simulation of computer communications networks
    • V. Frost, W. J. LaRue, and K. Shanmugan, "Efficient techniques for the simulation of computer communications networks," IEEE Jour. on Selected Areas in Comms., vol. 6, pp. 146-157, 1988.
    • (1988) IEEE Jour. on Selected Areas in Comms , vol.6 , pp. 146-157
    • Frost, V.1    LaRue, W.J.2    Shanmugan, K.3
  • 5
    • 2642512480 scopus 로고    scopus 로고
    • Reconfigurable readback-signal generator based on a field-programmable gate array
    • J. Chen, J. Moon, , and K. Bazargan, "Reconfigurable readback-signal generator based on a field-programmable gate array," IEEE Transactions on Magnetics, vol, 40, no. 3, pp. 1744-1750, 2004.
    • (2004) IEEE Transactions on Magnetics , vol.40 , Issue.3 , pp. 1744-1750
    • Chen, J.1    Moon, J.2    Bazargan, K.3
  • 6
    • 11244310546 scopus 로고    scopus 로고
    • A gaussian noise generator for hardware-based simulations
    • December
    • D.-U. Lee, W. Luk, J. D. Villasenor, and P. Y. Cheung, "A gaussian noise generator for hardware-based simulations," IEEE Transactions on Computers, vol. 53, no. 12, pp. 1523-1534, December 2004.
    • (2004) IEEE Transactions on Computers , vol.53 , Issue.12 , pp. 1523-1534
    • Lee, D.-U.1    Luk, W.2    Villasenor, J.D.3    Cheung, P.Y.4
  • 8
    • 85015692260 scopus 로고
    • The pricing of options and corporate liabilities
    • F. Black and M. S. Scholes, "The pricing of options and corporate liabilities," Jour. of Political Economics, vol. 81, pp. 637-659, 1973.
    • (1973) Jour. of Political Economics , vol.81 , pp. 637-659
    • Black, F.1    Scholes, M.S.2
  • 9
    • 42449156579 scopus 로고
    • Generalised autoregressive conditional heteroskedasticity
    • T. Bollerslev, "Generalised autoregressive conditional heteroskedasticity," Journal of Econometrics, vol. 31, pp. 307-327, 1986.
    • (1986) Journal of Econometrics , vol.31 , pp. 307-327
    • Bollerslev, T.1
  • 10
    • 0031599142 scopus 로고    scopus 로고
    • Mersenne twister: A 623-dimensionally equidistributed uniform pseudo-random number generator
    • Jan
    • M. Matsumoto and T. Nishimura, "Mersenne twister: a 623-dimensionally equidistributed uniform pseudo-random number generator," ACM Trans. on Modeling and Comp. Sim., vol. 8, no. 1, pp. 3-30, Jan. 1998.
    • (1998) ACM Trans. on Modeling and Comp. Sim , vol.8 , Issue.1 , pp. 3-30
    • Matsumoto, M.1    Nishimura, T.2
  • 11
    • 0040833010 scopus 로고    scopus 로고
    • The Ziggurat method for generating random variables
    • G. Marsaglia and W. W. Tsang, "The Ziggurat method for generating random variables," Jour, of Stat. Soft., vol. 5, no. 8, pp. 1-7, 2000.
    • (2000) Jour, of Stat. Soft , vol.5 , Issue.8 , pp. 1-7
    • Marsaglia, G.1    Tsang, W.W.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.