Optimizations in financial engineering: The Least-Squares Monte Carlo method of Longstaff and Schwartz

IPDPS Miami 2008 - Proceedings of the 22nd IEEE International Parallel and Distributed Processing Symposium, Program and CD-ROM

Volumn , Issue , 2008, Pages

  Choudhury, Anamitra Roy ^a   King, Alan ^b   Kumar, Sunil ^c   Sabharwal, Yogish ^a  

^a IBM INDIA RESEARCH LAB   (India)

^b IBM T J WATSON RESEARCH CENTER   (United States)

^c University of Southern California   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

CALIBRATION; COMPUTATIONAL FLUID DYNAMICS; COMPUTER NETWORKS; DISTRIBUTED PARAMETER NETWORKS; LEAST SQUARES APPROXIMATIONS; MATHEMATICAL MODELS; MONTE CARLO METHODS;

FINANCIAL ENGINEERING; LEAST-SQUARES; PARALLEL AND DISTRIBUTED PROCESSING;

PARALLEL ALGORITHMS;

EID: 51049119649     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/IPDPS.2008.4536290     Document Type: Conference Paper

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