In this paper we present new, fast and accurate methods to calculate the prices and sensitivities of European vanilla and digital options under the Variance Gamma model, and the Variance Gamma PDF. By Marco de Innocentis.

Download the PDF to read the full article: Fast Calculation of Prices and Sensitivities of European Options Under Variance Gamma

Portfolio optimisation is computationally intensive and has potential for performance improvement – GPU is a natural fit for this. This paper examines the effects of evaluating large numbers of proposed solutions in parallel for use with Direct Search optimisation. This leads to a method that has a considerable performance increase. A GPU implementation demonstrates an order of magnitude performance improvement over the best available multi-threaded CPU. The new algorithm and GPU combined offer a performance increase of more than 60x compared to CPU. By Niels Stchedroff.

Download the PDF to read the full article: Portfolio Optimisation

The multi-directional (MD) technique is a general purpose tool for optimisation, that is, finding the global maxima or minima of some objective function in a given domain. Any function that produces a relatively continuous surface may therefore be suitable. Using a graphics processing unit (GPU) for MD optimisation demonstrates an increase in speed of up to 400-fold compared to using a CPU (single threaded). More than a 100-fold speed up was seen across a range of problems. By Niels Stchedroff.

Download the PDF to read the full article: Multi-directional optimisation on the GPU

Claudio Albanese, Giacomo Pietronero and Steve White present a Dodd-Frank margin-financing solution for cross product CVA using revolving lines of credit.

Download the PDF to read the full article: Optimal Funding Strategies for Counterparty Credit Risk Liabilities

Riskcare’s Steve White outlines the next 10 years in risk management.

The second part of this article explains what the most advanced practitioners are doing in the realm of risk.

Download the PDF to read the full article: Riskcare Waters September 2010

Riskcare’s Steve White outlines the next 10 years in risk management.

Risk managers cannot see all the risks attacking their organisations. New initiatives promise better clarity but risk management nirvana – complete, concise and timely information – remains some way off. This article is a roadmap to that destination and provides a way to benchmark your organisation. It will help you plan your future, understand your rivals and your own competitive advantage. It will also help your firm decide the timeframe and the scale of investment required – vital for managing expectations…

Download the PDF to read the full article: Riskcare Waters August 2010

By Mitya Boyarchenko, Marco de Innocentis and Sergei Levendorskii. We calculate the asymptotics of barrier options and one-touch options near the barrier for wide classes of Lévy processes. In the case of processes of infinite activity and finite variation, with the drift pointing from the barrier, we prove that the price is discontinuous at the barrier. This observation can serve as the basis for a simple, robust test of the type of processes observed in the financial markets.

Download the PDF to read the full article: Prices of Barrier…Marco de Innocentis

Banks use a variety of pricing models across business lines, creating discrepancies in the way various financial instruments are priced. But developments in high throughput computing could lead to the possibility of a global valuation model argue Claudio Albanese, Guillaume Gimonet and Steve White.

Download the PDF to read the full article: Riskcare Risk May 2010

Should risk managers now be responsible for allocating your bank’s capital?

Risk management has come under intense scrutiny since the credit crisis began. While various risk issues have come to light involving systems and processes, it is Riskcare’s view that the biggest problem is how most banks organise their risk management function. If risk management is to become more effective, then its role must evolve. Rather than simply monitoring and mitigating risk, risk managers must influence how a bank allocates capital to its business units. This can be achieved by introducing a risk-based ‘cost-to-capital’ approach.

Download the PDF to read the full article: Risk October 2008

FX e-commerce operates in a new era of Risk

Do we live in a new world of foreign exchange risk? The thing is, it is much like the old world, only a great deal faster and a great deal busier. So the old paradigms of risk seem to apply – counterparty risk, processing or settlement risk, technology risk, market risk, criminal risk and of course, the more general risk of losing your clients. However, read into this volumes that are three times those at the start of the decade, messaging volumes that are more than ten-fold, frequency of trading that is multiples per second and technology specifications leading to microsecond measurements (as against oldschool refresh rates measured in the once-a-second frame).

Download the PDF to read the full article: Leader V2 2008