Derivative Pricing and GPU Computing
January 12-14, 2009
Courant Institute, Room 109, 251 Mercer Street
New York, NY 10012

The workshop provides a comprehensive introduction to derivative pricing and GPU computing emphasizing model agnostic system design. Topics covered include:

  • Valuation, calibration and risk management of exotic derivatives
  • Operator methods for derivative pricing
  • System design with multi-GPU equipment
  • Interest rate, FX, credit and hybrid derivatives

The workshop runs over 3 days from 8:30 a.m. to 5 p.m. During the first day Claudio Albanese will present the mathematical background and illustrate the theory with practical examples. He will in the second day focus on model building with interest rate exotics, FX, credit and hybrid derivatives. The third day is dedicated to GPU-based quantitative financial modeling. In addition to a technical overview of GPU hardware and CUDA computing architecture, industry veterans like John Milner, Claudio Albanese, Gerald Hanweck, Jr., Ronald S. Indeck, and Dean Tallam will discuss several real-world cases where GPUs are enhancing financial modeling.


Buy-side practitioners (portfolio managers and risk managers), sell-side practitioners (traders, financial engineers, quantitative analysts, research teams), and academics will deepen and broaden their understanding of the recipes they implement everyday and will learn the most cutting-edge techniques.

Prerequisites for the first two days are undergraduate linear algebra, probability theory and some knowledge of mathematical finance at the level of a first term in an M.S. program. The third day assumes good programming skills.


A Charity Event

This is a charity event. Fifty percent of profits will be donated to three New York City charity organizations.