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Callable Swaps, Snowballs, and Videogames: Wilmott Magazine Article
Claudio Albanese 901 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.


Finformatics: Samurai GARCHkillers: Wilmott Magazine Article
Kent Osband 2414 Views

In which the ubiquity of GARCH gets a swift Katana to the Bento box. Having long admired Julius Irving's abilities as a basketball player, the world was even more impressed to discover his talents as a novelist. The World According to GARCH, written in 1978, was an instant bestseller; and the screen version in 1982 was just as popular. Soon economics departments joined in, adapting GARCH to their purposes. It is now the favored technique for estimating the volatility of financial time series. But I think things have gotten way out of hand.

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