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Risk Measures Extracted from Option Market Data Using Massively Parallel Computing

Stichwort:

Financial risk management, Massively parallel GPU comtuing, Stochastic volatility model, and Black-Scholes Formula

Schöpfer:

Zhao, Min

Advisor:

Vermes, Domokos

Herausgeber:

Worcester Polytechnic Institute

Datum erstellt:

2011-04-27

Resource Type:

Report

Degree:

MS

Unit (Department):

Mathematical Sciences