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Callable Swaps, Snowballs, and Videogames: Wilmott Magazine Article
Claudio Albanese 898 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.


A Critique of the Crank Nicolson Scheme Strengths and Weaknesses for Financial Instrument Pricing
Daniel J. Duffy 5332 Views

In this article we apply the Finite Difference Method (FDM) to the Black Scholes equation. In particular, we analyse the famous Crank Nicolson method that is very popular in financial engineering. Unfortunately, the method does not always produce accurate results and it is the objective of this article to enumerate the problems and then to propose more robust finite difference schemes. More detailed accounts of the current problem can be found in Duffy 2001 and Duffy 2004.

Liquidity Management & Optimisation 2015 - 24 September 2015 - Central London, UK
Liquidity Management & Optimisation 2015
24 September 2015 - Central London, UK

With the finalisation of the LCR in October, the market place is taking stock of the new liquidity environment and market place. The 2015 Liquidity Management & Optimisation event is structured to give a comprehensive overview of liquidity regulations and developments into 2016 post-LCR, direct from a range of Bank speakers.

Some of the key sessions at Liquidity Management & Optimisation:

    PRA Update: Finalised Liquidity and Risk Supervision Rules and Guidance
    Intraday: Expectations for the EBA?s 2016 Paper and How to Manage the SREP and BCBS248 Requirements
    Panel session: Optimising the Balance Sheet in the New Liquidity Environment
    Minimizing Liquidity Consumption through the Dynamic Management of Asset Correlations
    New Approaches to Liquidity Stress Testing


Expert speakers you can hear from include:

Colin Johnson, SANTANDER
Karin Boonlertvanich, KASIKORNBANK
Alistair McLeod, BARCLAYS CAPITAL
Stephan Lenz, ZÜRCHER KANTONALBANK
Chris Blake, HSBC

Learn more, view the latest agenda and register today at http://www.infoline.org.uk/FKM63259WML - quote VIP code FKM63259WML to save 15%on registration courtesy of Wilmott.
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