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accelerated-quant-finance
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by NVIDIA
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c++derivatives pricinggpu computinghigh performance computingnumerical methods
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Build the foundations
Suggested foundations for optimisation and numerical methods. Specialist prerequisites vary by resource.
Before you read
- Vectors, Matrices and Linear Systems
Read the linear algebra used to define a numerical problem.
- Constrained and Convex Optimisation
Identify the objective, constraints and conditions for an optimum.
Go further
- Calibration as an Inverse Problem
Understand identifiability and fitted model parameters.
- Numerical Conditioning and Stability
Separate model error from unstable numerical computation.