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The Alternating Direction Explicit (ADE) Method for One-Factor Problems: Wilmott Magazine Article
Guillaume Pealat and Daniel J. Duffy 621 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.


The Collector - Know Your Weapon - Part 1: Wilmott Magazine Article
Espen Gaarder Haug 8220 Views

Trading options is War! For an option trader a pricing or hedging formula is just like a weapon. A soldier who has perfected her pistol shooting can beat a guy with a machine gun who doesn't know how to handle it. Similarly, an option trader knowing the ins and outs of the Black-Scholes-Merton (BSM) formula can beat a trader using a state-of-the-art stochastic volatility model.

Risk Culture - 20 June 2014 | Central London - SAVE 15%
Risk Culture
20 June 2014 | Central London

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