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CME 242: Mathematical and Computational Finance Seminar

Speaker: Pierre Spatz, Murex

Title: Effects of GPU, AAD and XVA on the Future Computing Architecture of Banks

Abstract: The 2008 crisis has tremendously changed the way we approach financial computing in the banks. While the complexity and diversity of traded products have been reduced, volumes and regulatory computations needs have exploded while budgets became tight and we do not see any relief in the future. Several solutions including GPU– powerful parallel coprocessor – , AAD– an algorithm – or both of them have been implemented to cope with today workload. All these methods imply at least a partial rewrite of the code. We will come back on our experience and see how well each solution fit different test cases with current or future hardware and extrapolate how the future calculation servers of banks will look like.

Bio: Pierre Spatz heads the quantitative analysis team of Murex, a world leader in trading and risk management software. He holds a master’s degree in computer engineering and applied mathematics from ENSIMAG in Grenoble, France.

Location: 

200-203

Organizer: 
Kapil K Jain
Date: 
Thursday, April 7, 2016 -
4:30pm to 5:30pm