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The Alternating Direction Explicit (ADE) Method for One-Factor Problems: Wilmott Magazine Article
Guillaume Pealat and Daniel J. Duffy 627 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.


We Happy Few: Wilmott Magazine Article
Gustavo Bamberger 2556 Views

Not many people seem to realize what an optimistic, life-affirming bunch we economists are. And by relying on economists' happy worldview, we might just be able to improve corporate governance.

Cyber Threat & Operational Risk - 1 July 2014 | Central London - SAVE 15%
Cyber Threat & Operational Risk
1 July 2014 | Central London

*Visit the website for more information and to SAVE 15% on registration fees courtesy of Wilmott, quote VIP code FKM62837WML*

Enhancing cyber risk management frameworks:
  • Key characteristics & technical terminology
  • UK government's '10 steps to cyber security'
  • Monitoring key systems and networks
  • Network security and penetration testing

    Effectively monitoring the cyber threat environment:
  • Horizon scanning & internal defence monitoring
  • Learning from external events
  • IT and cyber risk indicators triggers and limits
  • Integrating IT and operational risk indicators

    Benefiting from value adding IT governance:
  • Incorporating IT within the Op Risk framework
  • Bringing business and IT managers together
  • Building the Information Security Policy
  • Third party management

    *Visit the website for more information and to SAVE 15% on registration fees quote VIP code FKM62837WML*

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