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■ The pricing of derivatives with complex diffusion models such as local or stochastic volatility usually require the use of a CPU grid.
With a strong knowledge of financial software as well as derivative products and models, we provide efficient answers to performance matters:
- grid deployment
- grid configuration
- model adaptation on grid
- validation of grid solutions.
This method is of course heavily used in exotics pricing - path-dependent products, multi-asset payoffs, models with more than 3 factors -
as well as in the risk field (value-at-risk, potential future exposure...). Its adaptation to GPUs allows an incredible gain in speed,
ranging from 60 times faster computations.
Although the adaptation of partial differential equation (PDE) methods to GPU is more complex, it can also benefit largely from GPU technology. In that domain, Nvidia’s latest Tesla 20-series Fermi presents particularly promising capabilities.
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