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Gpusvcalibration: A R Package For Fast Stochastic Volatility Model Calibration Using Gpus, Matthew Dixon, Sabbir Ahmed Khan, Mohammad Zubair
Gpusvcalibration: A R Package For Fast Stochastic Volatility Model Calibration Using Gpus, Matthew Dixon, Sabbir Ahmed Khan, Mohammad Zubair
Business Analytics and Information Systems
In this paper we describe the gpusvcalibration R package for accelerating stochastic volatility model calibration on GPUs. The package is designed for use with existing CRAN packages for optimization such as DEOptim and nloptr. Stochastic volatility models are used extensively across the capital markets for pricing and risk management of exchange traded financial options. However, there are many challenges to calibration, including comparative assessment of the robustness of different models and optimization routines. For example, we observe that when fitted to sub-minute level midmarket quotes, models require frequent calibration every few minutes and the quality of the fit is routine …