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Callable Swaps, Snowballs, and Videogames: Wilmott Magazine Article
Claudio Albanese 830 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.


Noncommutative Geometry and Stochastic Calculus: Applications in Mathematical Finance
Eric A. Forgy 4081 Views

The present report contains an introduction to some elementary concepts in non- commutative differential geometry. The material extends upon ideas first presented by Dimakis and M. Muller-Hoissen. In particular, stochastic calculus and the Ito formula are shown to arise naturally from introducing noncommutativity of functions (0-forms) and differentials (1-forms). The abstract construction allows for the straightforward generalization to lattice theories for the direct implementation of numerical models. As an elementary demonstration of the formalism, the standard Black-Scholes model for option pricing is reformulated.

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