Consistent Risk Management with Multipurpose Pricing Infrastructures
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.
You can register for the presentation followed by reception free of charge directly on the GARP web site.