Concurrency and Computation: Practice and Experience

Cover image for Vol. 28 Issue 3

Edited By: Geoffrey C. Fox and David W. Walker

Impact Factor: 0.997

ISI Journal Citation Reports © Ranking: 2014: 46/102 (Computer Science Theory & Methods); 47/104 (Computer Science Software Engineering)

Online ISSN: 1532-0634

Associated Title(s): Journal of Software: Evolution and Process, Software Focus, Software Testing, Verification and Reliability, Software: Practice and Experience, Theory and Practice of Object Systems

Virtual Issue: Computational Finance

Computational Finance

Editorial for the Special Issue on Computational Finance
Ruppa K. Thulasiram and Manish Parashar

GPU pricing of exotic cross-currency interest rate derivatives with a foreign exchange volatility skew model
Duy Minh Dang, Christina C. Christara and Kenneth R. Jackson

Acceleration of Option Pricing Technique on Graphics Processing Units
Bowen Zhang and Cornelis W. Oosterlee

Parallelizing a Black-Scholes Solver based on Finite Elements and Sparse Grids
H.-J. Bungartz, A. Heinecke, D. Pflüger and S. Schraufstetter

Using Premia and Nsp for Constructing a Risk Management Benchmark for Testing Parallel Architecture
Jean-Philippe Chancelier, Bernard Lapeyre and Jérôme Lelong

Parallel computing strategies in the analysis of the inhibiting effect of price limits on futures prices
Narayanaswamy Balakrishnan, Jakadeesan Gopinatha, Dhrubajyoti Goswami and Latha Shanker

Pricing Derivatives on GPUs Using Monte Carlo Simulation
L.A. Abbas-Turki, S. Vialle, B. Lapeyre and P. Mercier