4 citations · 16 across the 6 of their papers we have counts for
Showing q-fin.CPShow all
2 papers · 1 filter
q-fin.CP2023★ 4 cited
Application of Tensor Neural Networks to Pricing Bermudan Swaptions
Raj G. Patel, Tomas Dominguez, Mohammad Dib +12
The Cheyette model is a quasi-Gaussian volatility interest rate model widely used to price interest rate derivatives such as European and Bermudan Swaptions for which Monte Carlo s…
q-fin.CP2014★ 1 cited
Accelerating Implicit Finite Difference Schemes Using a Hardware Optimized Tridiagonal Solver for FPGAs
Samuel Palmer
We present a design and implementation of the Thomas algorithm optimized for hardware acceleration on an FPGA, the Thomas Core. The hardware-based algorithm combined with the custo…