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The Alternating Direction Explicit (ADE) Method for One-Factor Problems: Wilmott Magazine Article
Guillaume Pealat and Daniel J. Duffy 729 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.


Least Squares Importance Sampling for Libor Market Models: Wilmott Magazine Article
Luca Capriotti 633 Views

A recently introduced Importance Sampling strategy based on a least squares optimization is applied to the Monte Carlo simulation of Libor Market Models. Such Least Squares Importance Sampling (LSIS) allows the automatic optimization of the sampling distribution within a trial class by means of a quick presimulation algorithm of straightforward implementation.

Key Risk Indicators - 18 June 2014 | Central London - SAVE 15%
Key Risk Indicators
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