In this paper, we show how to estimate the parameters of stochastic volatility models using Bayesian estimation and Markov chain Monte Carlo (MCMC) simulations through the approximation of the a-posteriori distribution of parameters. Simulated independent draws are made possible by using...

In the Bayesian estimation of DSGE models with DYNARE (specifically the Matlab Version for Windows), most of the computing time is devoted to the posterior estimation with the Metropolis algorithm. Usually, the Metropolis is run using multiple parallel chains, to allow more careful convergence...

The aim of this work is to provide fast and accurate approximation schemes for the Monte Carlo pricing of derivatives in LIBOR market models. Standard methods can be applied to solve the stochastic differential equations of the successive LIBOR rates but the methods are generally slow. Our...

The parameterized expectations algorithm (PEA) involves a long simulationand a nonlinear least squares (NLS) fit, both embedded in a loop. Both steps are natural candidates for parallelization.This note shows that parallelization can lead to important speedups forthe PEA.I provide example code...

This note describes ParallelKnoppix, a bootable CD that allows creationof a Linux cluster in very little time.An experienced user can create a cluster ready to execute MPI programsin less than 10 minutes.The computers used may be heterogeneous machines, of the IA-32 architecture.When the cluster...

PelicanHPC is a rapid (around 5 minutes, when you know what you're doing) means of setting up a high performance computing (HPC) cluster for parallel computing using MPI. This tutorial gives a basic description of what PelicanHPC does,  addresses how to use the released CD images to set up a...

This note shows how to set up a Linux cluster for MPI parallel processing using ParallelKnoppix, a bootable CD.

Prefetching is a simple and general method for single-chain parallelisation of the Metropolis-Hastings algorithm based on the idea of evaluating the posterior in parallel and ahead of time. In this paper improved Metropolis-Hastings prefetching algorithms are presented and evaluated. It is shown...