In GPGPU, MSc, OR on 16 March, 2013 at 5:20 pm
The poster I had submitted to NVidia, explaining the work I did during my thesis, has been added to the roster of posters to be presented at the 2013 GPU Technology Conference in San Jose, CA. Unfortunately due to time limitations to getting a visa, and the cost of flying to San Jose, I will be promoting my poster in absentia, if that makes any sense!
You can see the rest of the participants in the Finance category, as well as my poster at this URL:
Thanks again to everyone that helped me bring this work to completion. They are all mentioned in the acknowledgments section of my thesis.
In OR, Thesis on 25 January, 2013 at 10:16 am
I wanted to update this space to mention two presentations I gave of my thesis. I was thankful to be invited to the University of Manchester on the 25th of september 2012. This was also commented by Techila Technologies as well. It was a valuable experience and had the opportunity to answer some questions about the content of my results.
The second event I was invited to was the conference in Aarhus, Dennmark with the University of Aarhus for the week of February 25th 2013. I presented my thesis and attended the lectures there. Realy interesting talks by Antoon Pelsser of Maastricht University, and Peter Christoffersen of the University of Toronto.
I currently have a working paper for this thesis, and doing some extra work on it for submission to publish.
I am extremely happy with the acceptance this work has received, so I’d like to refine this work as much as I can. Watch this space for any updates. As a sidenote, I’ve also pushed an update into my github repo that can help you run the Heston model without requiring a NAG license. N.B. that this model would not have any variance reduction method without NAG’s Quasi random number generator. I’m planning to add some method, most likely antithetic variates, to address this. But you should be able to run this in Matlab now without any licenses. Enjoy!
In Personal on 24 August, 2012 at 12:17 pm
My thesis was just publicised at the High Performance Computing in Finance (Training in Modern Quantitative Methods and High-Performance Computing for Finance) website which is a 4-year multi-site Marie Curie Initial Training Network, funded by the European Commission within the 7th Framework Programme and has started on May 1, 2012. This thesis will act as the basis for future work into this subject.
There are still positions for young researchers available.
You can find the publication at this location.
On a similar note, I have also been invited by Manchester University’s Business School, to present a hands-on demonstration of the thesis, and specifically the acceleration results achieved. LEt me know if you’d be interested to attend and I’l see if there’s opportunity to visit.
I have thoroughly enjoyed doing this project, and am delighted by the reception of it. It is really good to see some tangible results to a good amount of work put into it.