Subscribe to Wilmott
Follow us on Twitter
join wilmott
login
forums
blogs
wiki
articles
audio visual
file share
news
events
jobs board
search
magazine
cqf
about us
subscribe
home
Callable Swaps, Snowballs, and Videogames: Wilmott Magazine Article
Claudio Albanese 763 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.


Inference and Stochastic Volatility
Alireza Javaheri 3365 Views

Consider a Stochastic Volatility mode such as the Square-Root (Lewis Alan 2000) model...

RiskMinds Asia 2015 - 12-15 October - Homg Kong - 10% DISCOUNT


12-15 October, The Excelsior Hotel, Hong Kong

The World's Largest Risk Management Event Series' Asian Conference

* 10% DISCOUNT OFFER *
Quote VIP Code: FKN2438WILW

Join 200+ senior risk managers from around the world
20+ CROs in attendance
Learn from 80+ speakers across 85+ sessions

Find out more & claim your 10% discount today on: www.riskmindsasia.com/FKN2438WILW

Please contact ICBI for all enquiries:
Email: info@icbi.co.uk
Tel: +44 (0)20 7017 7200
Wilmott Needs YOU!
Latest Tweets
New & Improved Wilmott Jobs Board
Now Playing

NAG Quant Day London 2008
Latest Blogs
Paul
How I Successfully Forecast The Results Of The UK General Election 2015
14 05 15: 1:46 PM
NNT
Quiz 7 - The problem with "drift" (The 1st who gets it wins a copy of The Black Swan )
13 03 07:12:48 PM
Collector
Unified Book Launch Oslo
05 12 14:5:19 PM
Emanuel Derman
RSS Feed to Reuters Blog
01 07 11: 4:02 PM
Satyajit Das
The Truth of the Matter
04 11 13: 4:57 AM
DCFC
deMorgans Law
22 07 09: 3:04 PM
Pablo Triana
Models On Models
21 05 11: 4:49 PM
Jan Dash
New paper "Market Crises, Earthquakes, and the Reggeon Field Theory"
11 06 13: 2:36 AM
Dan Goldstein
Taxi Drivers Get Bigger Tips When Paid By Credit Card
10 03 10: 10:28 PM
Iris Mack
Newsweek: On Hurricane Katrina's 10th Anniversary, Half of New Orleans Remains in Ruins
28 08 15: 4:23 PM
Cuchulainn
dd
27 04 15: 9:44 PM