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AAD and Parallel Computational Finance.pdf
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Computational portfolios concerns, practically the and ability in to reasonable calculate values time, have and risks always of derivatives portfolio practically and in reaonable time, have always been a
major part of quantitative finance. With the rise of bank-wide regulatory
simulations like CVA and capital requirements, it became a matter of sur-
vival. Modern computational finance makes the difference between calculat-
ing CVA risk overnight in large data centers and praying that they complete
by morning, or in real-time, within minutes on a workstation.
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