Utah State University DigitalCommons@USU All Graduate Plan B and other Reports Graduate Studies 5-2015 Efficient Parallel Approaches to Financial Derivatives and Rapid Stochastic Convergence Mario Harper Utah State University Follow this and additional works at: https://digitalcommons.usu.edu/gradreports Part of the Business Commons Recommended Citation Harper, Mario, "Efficient Parallel Approaches to Financial Derivatives and Rapid Stochastic Convergence" (2015). All Graduate Plan B and other Reports. 519. https://digitalcommons.usu.edu/gradreports/519 This Thesis is brought to you for free and open access by the Graduate Studies at DigitalCommons@USU. It has been accepted for inclusion in All Graduate Plan B and other Reports by an authorized administrator of DigitalCommons@USU. For more information, please contact
[email protected]. EFFICIENT PARALLEL APPROACHES TO FINANCIAL DERIVATIVES AND RAPID STOCHASTIC CONVERGENCE by Mario Y. Harper A thesis submitted in partial fulfillment of the requirements for the degree of MASTER OF SCIENCE in Financial Economics Approved: Dr. Tyler Brough Dr. Jason Smith Major Professor Committee Member Dr. Jared DeLisle Dr. Richard Inouye Committee Member Associate Dean of the School of Gradu- ate Studies UTAH STATE UNIVERSITY Logan, Utah 2015 ii Copyright c Mario Y. Harper 2015 All Rights Reserved iii Abstract Efficient Parallel Approaches to Financial Derivatives and Rapid Stochastic Convergence by Mario Y. Harper, Master of Science Utah State University, 2015 Major Professor: Dr. Tyler Brough Department: Economics and Finance This Thesis explores the use of different programming paradigms, platforms and lan- guages to maximize the speed of convergence in Financial Derivatives Models. The study focuses on the strengths and drawbacks of various libraries and their associated languages as well as the difficulty of porting code into massively parallel processes.