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Callable Swaps, Snowballs, and Videogames: Wilmott Magazine Article
Claudio Albanese 830 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.


From Manchester to Microsoft: Wilmott Magazine Article
Mike Staunton 3079 Views

Second in a series on the implementation of valuation models and how to avoid insanity.

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