Presented at the NVIDIA's GPU Technology Conference | March 2018
This presentation entitled “Recent Progress in Accelerating Monte Carlo Simulation on GPU for Pricing and Risk Management of Financial Instruments” was given by Serguei Issakov of Numerix at the NVIDIA's GPU Technology Conference in Silicon Valley on March 26th.
This presentation addressed recent progress made by Numerix in accelerating Monte Carlo simulation on the GPU in applications for pricing financial instruments and risk management. Taking the forward Monte Carlo simulation, which allows for a natural parallelization across CUDA cores, Dr. Issakov presented a recent extension of Numerix's implementation to a broad selection of industry standard valuation models for different asset classes, including hybrid models that can be used to price multi-currency and multi-asset portfolios.
Numerix Presenter Bio:
Serguei Issakov, Global Head of Quantitative Research and Development, Senior Vice President, Numerix
Serguei Issakov is the Global Head of Quantitative Research and Development at Numerix where he oversees quantitative research and development globally for pricing, market and counterparty risk, credit, funding, capital, and margin valuation adjustments (XVAs) in all asset classes (fixed income, inflation, credit, equities, FX, commodities, and hybrids).
Previously, Serguei held research positions in theoretical physics at the Nordic Institute for Theoretical Physics in Copenhagen, the University of Paris (Laboratory of Theoretical Physics and Statistical Models), the University of Oslo, and the Center for Advanced Study in Oslo. He has published over 40 papers in theoretical physics and quantitative finance and is a co-author of the Isakov-Ouvry-Wu equations in fundamental quantum statistical mechanics. He holds a Ph.D. in theoretical and mathematical physics from Moscow Institute of Physics and Technology, from the Theory Group led by Physics Nobel Laureate Vitaly Ginzburg.
Complete the form to the right to download this slide deck from Serguei Issakov's March 2018 GPU Technology Conference presentation.
