帝国理工教授presentation --- Interest Rate Derivatives and GPU Computing

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09年听过的一个演讲了。在伦敦金融城。虽然有些旧，我个人觉得还是很有用的。大家也看看听听。视频是现场录的，所以有些杂音。不过仔细听还是比较清楚 的。屏幕如果看不清楚，在附件里也附带了这个演讲的ppt。相信对有志做quant的朋友们很有帮助。视频比较大，所以分压了15个文档。本楼层放3个文件，其余的在3楼，4楼，6楼和7楼。不然一次放200多MB可能会有问题。以下是这个presentation的介绍。

Prof. Claudio Albanese — Interest Rate Derivatives and GPU Computing

Abstract
GPU coprocessors give access to extraordinary computational power as long as one can design financial algorithms to take advantage of the hardware features. The talk elaborates on the challenges and solutions in the context of interest rate exotics. I outline algorithms for calibration, pricing and risk management and discuss the implementation of lattice and Monte Carlo methods.

Speaker
Claudio Albanese is a Visiting Professor at the Financial Mathematics Group at King's College and an independent consultant at Level 3 Finance. He received his doctorate in Physics from ETH Zurich, following which he held post-doctoral positions at New York University and Princeton University. He was Associate Professor in the Mathematics Department of the University of Toronto and then Professor of Mathematical Finance at Imperial College London.

Interest Rate Derivatives on GPUs.part01.rar (14.31 MB)

2011-1-6 21:17:21 上传

Interest Rate Derivatives on GPUs.part02.rar (14.31 MB)

2011-1-6 21:17:21 上传

Interest Rate Derivatives on GPUs.part03.rar (14.31 MB)

2011-1-6 21:17:21 上传

Interest Rate Derivatives and GPU

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关键词：Presentation derivatives Presentatio Derivative computing derivatives Rate interest GPU

这么贵,只能无视了

Part 2


Interest Rate Derivatives on GPUs.part04.rar (14.31 MB)

2011-1-6 22:21:10 上传

Interest Rate Derivatives on GPUs.part05.rar (14.31 MB)

2011-1-6 22:21:10 上传

Interest Rate Derivatives on GPUs.part06.rar (14.31 MB)

2011-1-6 22:21:10 上传

Interest Rate Derivatives and GPU Computing

Part 3


Interest Rate Derivatives on GPUs.part07.rar (14.31 MB)

2011-1-6 23:26:25 上传

interest rates derivatives on GPU

Interest Rate Derivatives on GPUs.part08.rar (14.31 MB)

2011-1-6 23:26:25 上传

Interest Rate Derivatives on GPUs.part09.rar (14.31 MB)

2011-1-6 23:26:25 上传

謝謝了......

Part - 4

Interest Rate Derivatives on GPUs.part10.rar (14.31 MB)

2011-1-6 23:55:04 上传

Interest Rate Derivatives on GPUs.part11.rar (14.31 MB)

2011-1-6 23:55:04 上传

Interest Rate Derivatives on GPUs.part12.rar (14.31 MB)

2011-1-6 23:55:04 上传

Interest Rate Derivatives and GPU Computing

最后一部分

Interest Rate Derivatives on GPUs.part13.rar (14.31 MB)

2011-1-7 00:19:24 上传

Interest Rate Derivatives on GPUs.part14.rar (14.31 MB)

2011-1-7 00:19:24 上传

Interest Rate Derivatives on GPUs.part15.rar (12.43 MB)

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Interest Rate Derivatives and GPU Computing

150 大部分的人都买不起, 强烈要求降价啊

both the video and slides are available for free at
http://www.thalesians.com/financ ... s_and_GPU_Computing

btw, can anyone imagine a guy that has no idea about basic Black-Scholes and lognormal distribution would understand what Claudio Albanese was talking about and make such claims as 虽然有些旧，我个人觉得还是很有用的
http://www.pinggu.org/bbs/thread-989698-1-1.html

what a joke

double post