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Callable Swaps, Snowballs, and Videogames: Wilmott Magazine Article
Claudio Albanese 704 Views

Although economically more meaningful than the alternatives, short rate models have been dismissed for financial engineering applications in favor of market models as the latter are more flexible and best suited to cluster computing implementations.

In this paper, we argue that the paradigm shift toward GPU architectures currently taking place in the high performance computing world can potentially change the situation and tilt the balance back in favor of a new generation of short rate models.


Cover Story, Issue 1: In for the Count
Dan Tudball 3404 Views

The year is 1938. The place, about 45 miles out of Chicago.

On the steps of a market a boy of not quite six faces off against a perplexed looking local man who holds a heavy tome belonging to the kid, and studies it with some skepticism.

V-FI Valuation of Financial Instruments Americas 2015 - 20-23 October | New York
V-FI Valuation of Financial Instruments Americas 2015

20-23 October | New York, TBC

15% Discount Available with VIP Code FKM63267WML - Register today!

The only Financial Valuation Summit for Buy-Side and Sell-Side Firms is back for 2015.
Take a look at the latest agenda to see details of the 6+ Regulators, our world-leading speaker line-up, case studies, panel sessions and the return of our Global Heads panel - plus much more.

Key Highlights at V-FI Americas 2015

Regulators' Panel: Regulatory Agenda for Valuation

Put your questions to leading US and international regulators on key priorities for Valuation teams for 2015:

David K. Lynch, FEDERAL RESERVE BOARD
Kris Shirley, U.S. SEC
Ilaria Vigano, BLOOMBERG
Carlo di Florio, FINRA
Ragveer Brar, UK PRUDENTIAL REGULATION AUTHORITY

Content for Buy-Side and Sell-Side Firms

The 2015 V-FI Americas programme features dedicated content for both Banks and Hedge Funds, Private Equity and Asset Managers.

Choose between technical streams and workshops to explore the content most relevant to your firm and priorities:

Global Heads of Valuation Control Panel

New Heads of Valuation Control will join old hands for the annual discussion on the strategic direction of the Valuation Industry. Featuring:

Sal Fortunato, GOLDMAN SACHS
Peter Buckwalter, J P MORGAN
Tony Cirincione, MORGAN STANLEY
Tanveer Bhatti, CITI

15% Discount available with VIP Code FKM63267WML - Register today!
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