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The Alternating Direction Explicit (ADE) Method for One-Factor Problems: Wilmott Magazine Article
Guillaume Pealat and Daniel J. Duffy 729 Views

In this article we apply the ADE method to a number of partial differential equations in option pricing using one-factor models (Black-Scholes, local volatility, uncertain volatility).
xVA - Coping with the Tsunami of Compute Load
Jorg Lotze and Hicham Lahlou


This article gives an overview of the different xVA adjustments, such as CVA, DVA, and FVA, shows how they are typically computed, and outlines where the computational complexities lie. We give recommendations on how to achieve high performance, portability, and scalability for centralised in-house xVA implementations. We show how, by careful software design, we can easily harness, not only the power of multi-core CPUs, but also accelerator co-processors such as graphic processing units (GPUs) and the Intel Xeon Phi.

Rapid Computation of Drifts in a Reduced Factor LIBOR Market Model : Wilmott Magazine Article
Mark S. Joshi 3670 Views

The LIBOR market model for the pricing of exotic-interestrate derivatives has become very popular in recent years. It is the most sophisticated and complicated model for pricing interest-rate derivatives which is in widespread use. Whilst the theory underlying the model is not particularly hard, implementing and calibrating the model in an efficient manner is tricky.

Global Derivatives & Risk Management 2014 - 12 - 16 May, 2014. Hotel Okura, Amsterdam - 25% Discount
Global Derivatives & Risk Management 2014
12 - 16 May, 2014. Hotel Okura, Amsterdam

25% Discount for readers - VIP Code: FKN2383WILW

Global Derivatives brings together leading quants, traders, risk managers and academics from all over the world to discuss the key challenges affecting the derivatives market. Attending will enable you to:

    Hear technical details of the latest research being done by leading financial minds
    Learn cutting edge volatility, correlation, interest rate, FX, equities & credit modelling techniques
    Discover practical solutions to the challenges you face & learn how to implement them when you get back in the office
    Meet and learn from hundreds of senior derivatives professionals

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