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Multivariate Smiling: Wilmott Magazine Article
Peter Leoni & Wim Schoutens 556 Views

The paper presents an application of the Variance-Gamma distribution to price multivariate derivatives. The paper focuses on the practical implementation of the model in a multivariate setting. Several calibration procedures are discussed and applied to examples. In particular, we focus on the pricing differences for several exotic structures between the MultiVariate Variance-Gamma Model and the MultiVariate Black-Scholes Flat Volatility Model.
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.


Volatility Forecasting, Option Trading and CrashMetrics
Paul Wilmott 11458 Views

Lecture presented at the IQPC Correlation Trading Conference, London, April 2006: a stochastic volatility model based on data, confidence intervals, how to dynamically hedge to exploit arbitrage opportunities, diversification, market crashes, CrashMetrics and insuring your portfolio.

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