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GTC ON-DEMAND

Finance
Presentation
Media
Derivatives & Bond Portfolio Valuation in a Hybrid CPU/GPU Environment
Speakers:
Peter Decrem
Abstract:

Learn how to compute traditional end of day computations in real time through the use of a hybrid GPU/CPU computing environment. We will detail how computing intensive tasks are delegated to the GPU while interface issues are dealt with by the CPU. We will discuss our methodology consisting of the following three components: (1) valuations; (2) by tenor risk measures; and (3) full distributions allowing for more complex analytics such as exotic options products valuation and counterparty value adjustments calculation.

 
Topics:
Finance, Developer - Algorithms, HPC and AI
Type:
Talk
Event:
GTC Silicon Valley
Year:
2010
Session ID:
S10040
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