Use this URL to cite or link to this record in EThOS: http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.676603
Title: Towards a portable accelerated asset path simulator for derivatives pricing
Author: Trainer, Sean
ISNI:       0000 0004 5373 0218
Awarding Body: Queen's University Belfast
Current Institution: Queen's University Belfast
Date of Award: 2015
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Abstract:
This thesis details the development of a portable parallel financial derivative pricing tool. The software tool developed allows the specification of a wide range of financial derivatives, within the bounds of a general model developed from a general mathematical formula for stochastic asset paths of financial derivatives. The tool allows the user to input a derivative formula using a mathematical notation, and efficient OpenCL code will be automatically generated to price the specified derivative, using optimisations appropriate for the hardware architecture.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.676603  DOI: Not available
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