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Methods for Constructing a Yield Curve: Wilmott Magazine Article
Patrick S. Hagan & Graeme West 1563 Views

In this paper we survey a wide selection of the interpolation algorithms that are in use in financial markets for construction of curves such as forward curves, basis curves, and most importantly, yield curves. In the case of yield curves we also review the issue of bootstrapping and discuss how the interpolation algorithm should be in- timately connected to the bootstrap itself.
'Finance Focus' event: Finance Optimization using the Star-P Parallel Computing Platform
Organised by Wilmott magazine and 7city and sponsored by Interactive Supercomputing presented by Andrew Greenwell 1200 Views

With the age of multi-core having fully arrived, and with many-core processors just around the corner, quantitative analysts are in need of software tools that allow them to harness the computational capabilities and memory capacity of parallel systems. In this presentation, we provide an overview of the Star-P parallel computing platform and its possible uses in quantitative finance for problems with large distributed data sets and task parallel operations. Recent additions to Star-P will be highlighted that have direct benefit to financial modeling problems, including the addition of Statistics and Optimization function libraries, and the integration of Star-P with the Tomlab Optimization platform. A demo of Star-P will also be included in the presentation.

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