HPCwire: NVIDIA, NYU Host Financial Computing Summit

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January 06, 2009

NVIDIA, NYU Host Financial Computing Summit

Jan. 6 -- The Financial Engineering Summit, covering "Derivatives, Operator Methods and GPU Computing," will take place Jan. 12-14, 2009, at New York University, Courant Institute of Mathematical Sciences, 251 Mercer St., New York, NY. Buy-side practitioners (portfolio managers and risk managers), sell-side practitioners (traders, financial engineers, quantitative analysts, research teams), and academics are all invited to attend.

NVIDIA will join NYU Courant School of Mathematical Sciences to host a 3-day workshop on how to dramatically improve financial pricing models with CUDA and GPU Computing. The workshop provides a comprehensive introduction to derivative pricing and GPU computing emphasizing model agnostic system design.

Claudio Albanese, visiting Professor of Mathematical Finance at King's College London, will present the mathematical background for derivative pricing using GPUs and illustrate the theory with practical examples. Other industry veterans such as Gerry Hanweck from Hanweck Associates and Petter Kolm from the Mathematics in Finance M.S. program at the Courant Institute will discuss real-world cases where GPUs are being used in quantitative financial modeling to dramatically enhance the valuation, calibration and risk management of derivatives.

Attendees to the summit will deepen and broaden their understanding of the recipes they implement every day and will learn the most cutting-edge techniques to achieve orders of magnitude faster calculations.

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Source: NVIDIA Corp.

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