Pulling forward thanks to our knowledge.

Pulling forward thanks to our knowledge.

November 2014

Solvency II: Preparatory Phase - What needs to be done next?

Early preparation is essential for meeting the new requirements that will apply when Solvency II becomes effective. The presentation summarizes the current status and provides an outlook on the next steps which need to be performed.

November 2014

Code Mesh London 2014: Taming GPU threads with F#

Dr. Daniel Egloff held a talk at the Code Mesh London on 5 November 2014.

Abstract:

Writing GPU kernel code which optimally exploits parallelism and the GPU architecture is the most challenging and time-consuming aspect of GPU software development. Programmers have to identify algorithms suitable for parallelization and while implementing them reason about deadlocks, synchronization, race conditions, shared memory layout, plurality of state, granularity, throughput, latency and memory bottlenecks.

New languages and tools to increase the productivity in GPU software development, whilst at the same time retaining the full flexibility of the underlying programming models such as CUDA or OpenCL, are thus of tremendous value.

In this talk, Daniel gave an introduction to InCube's high productivity GPU development tool chain Alea GPU based on F#. He showed how GPU scripting, dynamic compilation and unique features of the F# language can be leveraged to reduce the development time of reusable libraries of parallel primitives and core numerical algorithms.

October 2014

Daniel Egloff visiting Microsoft Research, Cambridge UK

We are delighted that Microsoft Research in Cambridge, UK has invited Dr. Daniel Egloff, Partner at InCube Group, to meet with Don Syme and give a lecture on ‘Taming GPU threads with F# and Alea.GPU’. The lecture is scheduled at Microsoft Research Cambridge on Nov 3, 2014.

Don Syme is a Principal Researcher at Microsoft Research, Cambridge, UK. He is the designer and architect of the F# programming language.

Microsoft Research employs computer scientists, physicists, engineers, and mathematicians to collaborate with academic, government, and industry researchers to advance the state of the art of computing, and solve difficult world problems through technological innovation. 

For more information on Microsoft Research visit: 

Microsoft Research  

October 2014

Operational risk management - Risk prevention when dealing with electronic client identifying data

To strengthen the confidentiality of client identifying data (CID) the Swiss Financial Market Supervisory Authority FINMA has published Appendix 3 of the FINMA Circular 2008/21 (Operational risks at banks) which will become effective on January 1st, 2015. In this publication we are describing the major challenges arising during the implementation of Appendix 3.

October 2014

CTI Project: Multi-period portfolio construction with macro-economic turning-point signals

We are pleased to announce that the Commission for Technology and Innovation (CTI) has accepted a joint research proposal by InCube Group AG, Zurich University of Applied Sciences Winterthur (ZHAW) and University of Sydney. The research project will be jointly funded by InCube Group AG and the CTI and will last 29 months.

More information on the CTI can be found here:

Commission for Technology and Innovation (CTI)

September 2014

FinfraG / EMIR - What you need to know

Please find below the slides presented at the FinfraG / EMIR conference on 23 September 2014. 

September 2014

Taming GPU threads with F#

Dr. Daniel Egloff will hold a talk at the Code Mesh London on 5 November 2014.

Abstract:

Writing GPU kernel code which optimally exploits parallelism and the GPU architecture is the most challenging and time-consuming aspect of GPU software development. Programmers have to identify algorithms suitable for parallelization and while implementing them reason about deadlocks, synchronization, race conditions, shared memory layout, plurality of state, granularity, throughput, latency and memory bottlenecks.

New languages and tools to increase the productivity in GPU software development, whilst at the same time retaining the full flexibility of the underlying programming models such as CUDA or OpenCL, are thus of tremendous value.

In this talk we give an introduction to our high productivity GPU development tool chain Alea based on F#. We show how GPU scripting, dynamic compilation and unique features of the F# language can be leveraged to reduce the development time of reusable libraries of parallel primitives and core numerical algorithms.

For more information visit: 

Code Mesh London 2014

September 2014

Fundamental Review of the Trading Book; Part 1

This is the first issue in our series on the Basel initiative to fundamentally revise the trading book regulation known as “Fundamental Review of the Trading Book”. We provide an overview of its history, content, and objectives and highlight major industry challenges and latest developments.

September 2014

InCube Group and QuantAlea strengthen their market position

After years of close, highly successful cooperation InCube Advisory, InCube Capital and QuantAlea have decided to merge their businesses into a single unit.

August 2014

What you need to know about FinfraG/EMIR

Seminar on OTC derivatives regulations according to the Swiss Financial Market Infrastructure Act (FMIA/FinfraG) and the European Market Infrastructure Regulation (EMIR):

Tuesday, 23 September 2014, 3.30 p.m.

Hotel Schweizerhof, Bahnhofplatz 7, Zurich

Guest speaker: Reto Ziltener, Head Prime Services, Zuercher Kantonalbank

March 2014

How to Design a Language Integrated Compiler with LLVM

Xiang Zhang, the lead developer of QuantAlea, and Aaron Brewbaker explained in their talk at NVIDIA's GTC conference in San José, California, how to design a language integrated compiler with LLVM and illustrated the concepts with concrete implementations from Alea.cuBase.

March 2014

GPU Applications for Modern Large Scale Asset Management

Dr. Daniel Egloff gave a talk at NVIDIA's GTC conference in San José, California, about GPU applications for modern large scale asset management.

February 2014

Qualitative liquidity risk requirements – proposed changes

Overview of proposed changes to the Liquidity Ordinance and FINMA Circular 2013/06 “Liquidity Banks” in Switzerland (implementation of Basel III liquidity risk).

February 2014

Basel 3.5: Fundamental Review of the Trading Book

Summary of the 2nd consultative document on the fundamental review of the trading book (revised market risk framework) of the Basel Committee on Banking Supervision issued in October 2013.

January 2014

OTC derivatives regulation – Financial Market Infrastructure Act (FMIA): interview with Handelszeitung

Article “Vertrackte Kontrakte” published by the Handelszeitung (Switzerland) based on an interview with Erich Felder, CFA.