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This degree project investigates the performance of Value at Risk (VaR) calculations using different processing units, including CPUs, GPUs, and coprocessors. The study involves a theoretical examination followed by the implementation of parallel VaR algorithms, with performance tests revealing that CPUs outperform other units for the chosen algorithm and problem sizes. The findings aim to enhance the efficiency of VaR calculations in financial contexts.

Author

nikita58pnz4

Language

EN