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Callable Swaps, Snowballs, and Videogames: Wilmott Magazine Article
Claudio Albanese 758 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.


Design Patterns in Option Pricing Part III: Modeling the Finite Difference Method in C++ : Wilmott Magazine Article
Daniel Duffy 3132 Views

We discuss how to design and implement finite difference schemes that approximate the solution of the Black Scholes equation. In particular, we construct a simple framework that can be extended and used with a variety of option types. The focus of the article is to show how Design Patterns in conjunction with C++ are used to produce flexible and maintainable software systems. In this way we hope to resolve myths and misunderstandings concerning this particular way of software development. In short, Design Patterns are a proven software technology and have great practical use in financial engineering applications.

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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