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The Alternating Direction Explicit (ADE) Method for One-Factor Problems: Wilmott Magazine Article
Guillaume Pealat and Daniel J. Duffy 630 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.


Finformatics, The Coming Revolution in Finance: Wilmott Magazine Article
Kent Osband 5311 Views

Recognition of ignorance is the first step towards wisdom.
 
"Finformatics. The word isn't yet in any dictionary. But it will be. It's short for 'financial informatics' and refers to the science of distilling useful insights from financial information. I'll give a shorter definition later. The finance world as we know it doesn't concede much space for finformatics. Conventional finance theory tells us that the long-run average return or 'drift' is irrelevant to derivatives pricing. If you believe that, options prices can't tell us anything useful about the drift, only about the volatility of the noise around the drift. Darn. That excludes half the stuff people are interested in, and the more important half at that."
 

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