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The Alternating Direction Explicit (ADE) Method for One-Factor Problems: Wilmott Magazine Article
Guillaume Pealat and Daniel J. Duffy 720 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.


OIS Discounting and Curve Management Lecture in New York
7City 2936 Views

7City hosted a lecture for finance industry professionals in New York on May 31st. It was presented by Sol Steinberg, Satyam Kancharla and Mark Woodgate.

V-FI: Valuation of Financial Instruments London 2014 -10th-13th June 2014, Guoman Tower Hotel, London
V-FI: Valuation of Financial Instruments London 2014

10th - 13th June 2014, Guoman Tower Hotel, London

Europe?s Only Financial Valuations Summit

Visit the website for full details and to register.

V-FI London 2014

- Meet 200+ industry peers
- Quantitative and valuation control streams
- Eventing cocktail reception

After the great success of V-FI 2013 Europe?s leading valuation figures will gather once again in June 2014. With over 200 in attendance in 2013 this is the must attend event for the valuation community.

New for 2014...

- 50+ Valuation industry speakers
- Global Heads round table
- 20+ Bank led case studies and panel sessions
- Network with an audience of 150+
- 2 uniquely focused streams

Visit the website for full details and to register. Quote VIP Code FKM62764WMTWL for your special 10% discount!
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