Aurelien Cassagnes

According to our database¹, Aurelien Cassagnes authored at least 3 papers between 2013 and 2015.

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2015

Shuffle up and deal: accelerating GPGPU Monte Carlo simulation with application to option pricing.

[BibT_eX]

[DOI]

Concurr. Comput. Pract. Exp., 2015

2014

Heterogeneous Computation of Rainbow Option prices using Fourier cosine Series Expansion under a mixed CPU-GPU Computation Framework.

[BibT_eX]

[DOI]

Intell. Syst. Account. Finance Manag., 2014

2013

Heterogeneous COS pricing of rainbow options.

[BibT_eX]

[DOI]

Proceedings of WHPCF'13: 6th Workshop on High Performance Computational Finance, 2013