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QuantLib
Known as:
Quantib
QuantLib is an open-source software library which provides tools for software developers interested in financial instrument valuation and related…
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Related topics
Related topics
7 relations
Binomial options pricing model
C++
Computational finance
Finite difference methods for option pricing
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Papers overview
Semantic Scholar uses AI to extract papers important to this topic.
2019
2019
Financial System Design
K. Lano
,
H. Haughton
Undergraduate Topics in Computer Science
2019
Corpus ID: 169861454
This chapter will describe the design of financial software using an agile MBD process. We will consider software design quality…
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2016
2016
Pricing Ontology for Task-Oriented Cloud Sourcing
R. Greenwell
,
Xiaodong Liu
,
K. Chalmers
International Conference on Future Internet of…
2016
Corpus ID: 8434499
Cloud computing allows access to computing resources from a number of providers, who offer multiple pricing strategies for…
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2016
2016
Computational Finance Using QuantLib-Python
J. Varma
,
V. Virmani
Computing in science & engineering (Print)
2016
Corpus ID: 16151478
Given the complexity of over-the-counter derivatives and structured products, almost all derivatives pricing today is based on…
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2015
2015
A pattern oriented approach for designing scalable analytics applications (invited talk)
M. Dixon
2015
Corpus ID: 16962502
The biggest gain in fast processing of big-data will most likely be a result of mapping computation onto clusters of machines…
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2010
2010
Term Structure Construction Using QuantLib
Moorad Choudhry
,
D. Joannas
,
G. Landuyt
,
Richard Pereira
,
R. Pienaar
2010
Corpus ID: 63790197
Term structures are fundamental to the understanding of interest-rate instruments and the pricing of those instruments. It is…
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2009
2009
Uncertain volatility pricing in QuantLib
Carles Jou Montull
2009
Corpus ID: 126511104
En aquest projecte es presenta una implementacio del model de volatilitat incerta d'Avellaneda Levy i Paras en QuantLib, una…
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2008
2008
Optimizations in financial engineering: The Least-Squares Monte Carlo method of Longstaff and Schwartz
Anamitra R. Choudhury
,
A. King
,
S. Sushanth Kumar
,
Yogish Sabharwal
IEEE International Symposium on Parallel and…
2008
Corpus ID: 15179014
In this paper we identify important opportunities for parallelization in the least-squares Monte Carlo (LSM) algorithm, due to…
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2004
2004
Upper Bounds for American Option Prices using Regression with Martingale Basis Functions
N. P. Firth
2004
Corpus ID: 11295134
High dimensional American options have no analytic solution and are difficult to price numerically. Progress has been made in…
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2001
2001
On the use of a simple mobility model in ad hoc routing
E. Elmallah
,
H. Hassanein
,
H. Aboelfotoh
Proceedings International Conference on Parallel…
2001
Corpus ID: 26733596
Future ad hoc networks are expected to provide mobile hosts with access to a wide range of multimedia services. Mobility, however…
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2000
2000
Quantlets and Quantlibs
W. Härdle
,
Zdeněk Hlávka
,
S. Klinke
2000
Corpus ID: 58828145
Quantlets are quantitative procedures that are designed in the XploRe language and run inside the XploRe computing environment…
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