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Callable Swaps, Snowballs, and Videogames: Wilmott Magazine Article
Claudio Albanese 865 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.


Stochastic Volatility Inference with Monte Carlo Filters: Wilmott Magazine Article
Nikolay Y. Nikolaev & Evgueni Smirnov 959 Views

Modelling the volatilities in business cycles is a problem whose solutions have important implications for asset pricing, risk management, and other financial tasks. There are various approaches to finding the volatility, considered as an an unobsrved component in financial time series, but the practitioners usually take only the most popular ones. This paper shows that even popular Monte Carlo filters can be outperformed by modern tools product of recent research.

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