帝国理工教授presentation --- Interest Rate Derivatives and GPU Computing [推广有奖]

11楼

P_E_M_Lee

发表于 2011-1-7 10:34:29

OK, fine. Now it is for free. Thanks for the advise. Any way, it seems this thread is redundant now. However, I don't know how to delete thread I have started. So have to keep it this way.

By the way, quoting one guy from Jane Street Capital "the market changes all the time, when you are about to sign a contract with a company, if it requires you to stay out of the market for, say one year, when you quit the contract, I suggest you double consider the contract, because what you know now most time won't work a year later." He said that at IC presentation on 10th Nov 2010 and I was happen to be there.

But any way, I am not gonna make silly mistakes like this any more. Thanks for the advise again.

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12楼

sjdkuhn 发表于 2011-1-7 11:18:47

Black Scholes is OK. GPU for parellel computing, not easy as BS.

13楼

P_E_M_Lee

发表于 2011-1-8 01:44:24

I know GPU (but unfortunately in fortan...). In fact I am doing high performance computing and parallel programing for my degree.

It seems, according to many traders and quants I met (e.g. guys from high frequent trading team of UBS, and MS), parallel computing is not useful at all. They said Monte Carlo doesn't need to be paralleled. They can calculate 1000 stocks on 1000 machines, then only do a summation afterward (sounds like parallel computing though). To my knowledge, only JP Morgan has a very small team dedicated on GPU programing on derivatives.

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吾将上下而求索