Developed a CUDA version of the FDTD method and achieved a speedup 40x. Implemented on a NVIDIA Quadro FX 3800 GPU, which has 192 SPs, 1GB global memory, and a memory bandwidth of 51.2 GB/s.

The Vector Form Intrinsic Finite Element (VFIFE) method represents an advanced computational approach that redefines conventional finite element analysis through an intrinsic, vector‐based formulation ...

The decomposition of portfolio risks in terms of the underlying assets, which are extremely important for risk budgeting, asset allocation and risk monitoring, is well described by risk contributions.

We develop here a finite-difference approach for valuing a discretely sampled variance swap within an extended Black–Scholes framework. This approach incorporates the observed volatility skew and is ...