5 search results - page 1 / 1 » FPGA acceleration of Monte-Carlo based credit derivative pri... |
FPL
2008
Springer
13 years 6 months ago
2008
Springer
In recent years the financial world has seen an increasing demand for faster risk simulations, driven by growth in client portfolios. Traditionally many financial models employ Mo...
FPL
2008
Springer
13 years 6 months ago
2008
Springer
Today, quasi-Monte Carlo (QMC) methods are widely used in finance to price derivative securities. The QMC approach is popular because for many types of derivatives it yields an es...
FCCM
2008
IEEE
13 years 11 months ago
2008
IEEE
The recent turmoil in global credit markets has demonstrated the need for advanced modelling of credit risk, which can take into account the effects of changing economic condition...
ENGL
2008
13 years 5 months ago
2008
High performance computing is becoming increasingly important in the field of financial computing, as the complexity of financial models continues to increase. Many of these financ...
WSC
2007
13 years 7 months ago
2007
A credit derivative is a path dependent contingent claim on the aggregate loss in a portfolio of credit sensitive securities. We estimate the value of a credit derivative by Monte...