Quasi-Monte Carlo methods in numerical finance
Management Science
Quasirandom number generators for parallel Monte Carlo algorithms
Journal of Parallel and Distributed Computing
Computational investigations of low-discrepancy sequences
ACM Transactions on Mathematical Software (TOMS)
Parallel computing of a quasi-Monte Carlo algorithm for valuing derivatives
Parallel Computing - Special issue on parallel computing in economics, finance and decision-making
Algorithm 806: SPRNG: a scalable library for pseudorandom number generation
ACM Transactions on Mathematical Software (TOMS)
Techniques for parallel quasi-Monte Carlo integration with digital sequences and associated problems
Mathematics and Computers in Simulation - IMACS sponsored Special issue on the second IMACS seminar on Monte Carlo methods
Multithreaded Algorithms for Pricing a Class of Complex Options
IPDPS '01 Proceedings of the 15th International Parallel & Distributed Processing Symposium
Parallel Quasi-Monte Carlo Integration Using (t, s)-Sequences
ParNum '99 Proceedings of the 4th International ACPC Conference Including Special Tracks on Parallel Numerics and Parallel Computing in Image Processing, Video Processing, and Multimedia: Parallel Computation
Performance Evaluation of a Multithreaded Fast Fourier Transform Algorithm for Derivative Pricing
The Journal of Supercomputing
Distributed Quasi-Monte Carlo Algorithm for Option Pricing on HNOWs Using mpC
ANSS '06 Proceedings of the 39th annual Symposium on Simulation
A parallel quasi-Monte Carlo approach to pricing multidimensional American options
International Journal of High Performance Computing and Networking
Proceedings of the 10th international conference on Parallel Problem Solving from Nature: PPSN X
Option pricing using Particle Swarm Optimization
C3S2E '09 Proceedings of the 2nd Canadian Conference on Computer Science and Software Engineering
Acceleration of market value-at-risk estimation
Proceedings of the 2nd Workshop on High Performance Computational Finance
Good permutations for deterministic scrambled Halton sequences in terms of L2-discrepancy
Journal of Computational and Applied Mathematics
Parameterization based on randomized quasi-Monte Carlo methods
Parallel Computing
Pricing algorithms for financial derivatives
Algorithms and theory of computation handbook
Exploring financial applications on many-core-on-a-chip architecture: a first experiment
ISPA'06 Proceedings of the 2006 international conference on Frontiers of High Performance Computing and Networking
Accelerating Value-at-Risk estimation on highly parallel architectures
Concurrency and Computation: Practice & Experience
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Monte Carlo (MC) techniques are often used to price complex financial derivatives. The computational effort can be substantial when high accuracy is required. However, MC computations are latency tolerant, and are thus easy parallelize even with high communication overheads, such as in a distributed computing environment. A drawback of MC is its relatively slow convergence rate, which can be overcome through the use of Quasi Monte Carlo (QMC) techniques, which use low discrepancy sequences. We discuss the issues that arise in parallelizing QMC, especially in a heterogeneous computing environment, and present results of empirical studies on arithmetic Asian options, using three parallel QMC techniques that have recently been proposed. We expect the conclusions to be valid for other applications too.