Pulling forward thanks to our knowledge.

Pulling forward thanks to our knowledge.

October 2013

F# and GPUs: speed, speed, speed!

Dr. Daniel Egloff will be talking at the upcoming F# in Finance all day events in London and New York.

Abstract

In the fast moving world of financial markets it's speed, speed, speed! GPU compute accelerators are finding wide application in pricing and risk, and wherever else speed is a compatitive advantage. Now its easy to tap into GPU compute power with F# and Alea.cuBase.

For more information visit: 

New York F# User Group

F# in Finance New York, December 2013

September 2013

Large Scale Optimization and High Performance Computing for Asset Management

Dr. Daniel Egloff will present at the GPU Club of the University of Manchester on Wednesday, 2 Oct 2013.

For more information visit:

University of Manchester Computational Science Community

June 2013

finews.ch: interview with Erich Felder, CFA

Interview organized by finews.ch, a Swiss online news portal, on regulatory developments and their impact on independent asset managers in Switzerland. Topics: US tax deal, FATCA, AIFMD, Basel III, EMIR, Dodd-Frank, FinfraG, MiFID, MiFIR, FIDLEG, correlation breakdown, risk-factor approaches.

June 2013

Presentation on Gold investments at the annual Commodity Club Gold Event

Lorenz Arnet and Boris Rankov from InCube presented at the annual Gold Event organized by the Commodity Club Switzerland (www.commodityclub.ch) on the topic "Active Gold Strategies designed to outperform the Gold price".

June 2013

OTC derivatives reform: European Market Infrastructure Regulation (EMIR)

The EU has introduced the European Market Infrastructure Regulation (EMIR) following the G20 commitments to improve the efficiency and transparency of the OTC derivatives markets with a view to reducing counterparty, operational risk and overall systemic risk. This document gives an introduction to EMIR and to the situation for counterparties in Switzerland.

May 2013

.NET in the City - F# and Computational Finance

The last .NET in the City event organized by Microsoft last Thursday, May 16th, was a great success. We had more than 70 registrations and a large crowed showed up.

Daniel Egloff gave another presentation about F# and its application to computational finance and GPU computing. He showed several live coding examples, including GPU scripting inside Excel, as well as interoperation of CUDA with graphics visualization through DirectX.

Don Syme was present as well and tweeted directly from Daniel's talk. Shortly after Sergey Tihon listed Don's tweets on this blog post.

April 2013

F# + GPGPU - Financial Services Developer Forum (.NET in the City)

Join the Daniel Egloff at the .NET in the City event taking place May 16th.

This exclusive Microsoft event is aimed at Developers and Architects from the Financial Services sector, providing an opportunity to learn about some of the new developer capabilities, and best practices.

For more information visit:

F# + GPGPU - Financial Services Developer Forum

April 2013

From Parallel Algorithms to Monads - New Techniques for Using GPUs to make Derivative Pricing and Risk Analytics more effective

Dr. Daniel Egloff gave a presentation at the 2013 ICBI Global Derivatives Trading & Risk Management conference in Amsterdam about how computational workflows or monads can be used to simplify reusability and composition of GPU algorithmic building blocks to more complex GPU algorithms, thereby significantly reducing time to market, development cost and at the same time improve the correctness and robustness of the application.

March 2013

Dynamic CUDA with F# – New Dimensions for GPU Computing on .NET

Dr. Daniel Egloff and Xiang Zhang presented Alea.cuBase at GTC 2013 in San José and showed how to do GPU scripting with F# and Excel.

For some other opinion see also the comments on the AccelerEyes blog.

March 2013

Alea.cuBase and F# - a new level of GPU Computing

Dr. Daniel Egloff will speak at the meet up of the HPC & GPU Supercomputing Group of Silicon Valley, taking place Tuesday March 19 at the San Jose Convention Center, Room 210F.

For more details go to HPC & GPU Silicon Valley group or to The San Francisco Bay Area F# user group.

March 2013

GPU Computing in Finance with Alea.cuBase

Daniel Egloff gave a brief introduction to GPU computing for financial applications with Alea.cuBase.

Below you can download the slides and the demo project. In order to run the demo code you have to install either a trial version of Alea.cuBase or request a personal license directly from QuantAlea with a mail to info(at)incubegroup.com.

March 2013

Basel III: new liquidity risk requirements for banks

Overview of the key points of the new Basel III liquidity risk requirements introduced with the Liquidity Ordinance and FINMA Circular 2013/06 “Liquidity Banks” as well as their implications and challenges for banks.

February 2013

GARP Zurich Chapter presentation: "Consistent risk management with multipurpose pricing infrastructures"

Slides presented by Dr. Daniel Egloff at the GARP Zurich Chapter meeting on 5 February 2013. They cover approaches on how to overcome the challenges in the front, middle and back offices of financial institutions: (1) requirement for consistent representation, valuation and management of financial products for all purposes; (2) need to adopt new technologies, such as GPUs, clusters, grids, clouds, virtual machines; and (3) requirement to integrate the two given the large amount of legacy code.

February 2013

Introducing Alea.cuBase

In order to respect existing trademarks, we decided to change the product name from Alea.CUDA to Alea.cuBase and removed all previous releases of Alea.CUDA from our web site. Existing Alea.CUDA licenses will not work anymore for Alea.cuBase.

Licensed users will find new license keys in their user account on our web site. The name change comes with a new release. Besides some performance improvements in the launch functions we removed the examples and the tutorials from the release. They are now available on GitHub as independent publicly available projects, which allows us to upgrade the examples independently of a release.

For more details please check out the release notes of Alea.cuBase.

January 2013

Free Alea.cuBase Licenses for Participants of F# User Group Meetings Related to Alea.cuBase

QuantAlea offers free license to the F# user group community for a limited period of time.

To request a free personal license please fill out the license request form. To qualify for a license you have to be a registered user of an F# user group and you must have attended a user group meeting related to Alea.cuBase or our GTC 2013 talk.

QuantAlea reserves the right to reject a license request if the supplied information is incomplete or insufficient. We also reserve the right to withdraw this offering at any time. 

January 2013

GARP Chapter Meeting, Zürich, Switzerland

Consistent Risk Management with Multipurpose Pricing Infrastructures

Synopsis:

Dr. Daniel Egloff will discuss designing and implementing pricing infrastructures, which can be used for multiple purposes including front office pricing, risk management, structuring, or ad-hoc analytics, such as hedging efficiency analysis.

A multipurpose pricing infrastructure is far more than a quant library deployed on a few multi-core boxes. Rather it is about suitable abstractions and unifying concepts, proper model implementation, efficient use of modern hardware technologies such as Graphics Processing Units (GPU), the selection of the right engineering tools, and deployment to high throughput cluster and cloud infrastructures.

These points will be illustrated by means of a concrete example for equity basket derivatives and the local volatility model. Various cases will be explored to demonstrate the benefit of a holistic approach to pricing and risk management, from a quant modelling, software engineering and hardware infrastructure point of view.

Registration:

You can register for the presentation followed by reception free of charge directly on the GARP web site.

January 2013

Dynamic CUDA with F# - New Dimensions for GPU Computing on .NET

We will be presenting at the NVIDIA GTC conference, taking place March 18-21 at the San Jose McEnery Convention Center in San Jose, California.

Abstract:

CUDA and F# are two trailblazing yet unrelated technologies. F# is a uniquely productive language to solve complex problems in a clear and concise way. On the other hand CUDA matured to an industry standard for parallel high performance computing on GPUs.

Our presentation shows how Alea.cuBase combines the two technologies F# and GPUs, leading to a complete solution to develop GPU accelerated applications on .NET. Alea.cuBase builds upon the LLVM compiler toolkit and the new NVIDIA PTX backend of CUDA 5. With Alea.cuBase you effectively write F# code, which generates CUDA programs dynamically at runtime, fully integrated into .NET.

January 2013

Successful start of the InCube Gold Fund

We are pleased to announce the successful start of the InCube Gold Fund, outperforming its benchmark by 1.28% in the first month of trading.