2 papers
cs.DC2020
Sensitivity Analysis in the Dupire Local Volatility Model with Tensorflow
Francois Belletti, Davis King, James Lottes +2
In a recent paper, we have demonstrated how the affinity between TPUs and multi-dimensional financial simulation resulted in fast Monte Carlo simulations that could be setup in a f…
cs.DC2019
Tensor Processing Units for Financial Monte Carlo
Francois Belletti, Davis King, Kun Yang +4
Monte Carlo methods are critical to many routines in quantitative finance such as derivatives pricing, hedging and risk metrics. Unfortunately, Monte Carlo methods are very computa…