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Our popular course Introduction to QuantLib Development will be taking place June 18-20th, 2018.

 

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Financial Training - ntroduction to QuantLib Development with Luigi Ballabio Brochure - June 2018

The goal of this three-day intensive hands-on course is to take a birds-eye look at the design of the QuantLib library as well as its rationale, to examine its implementation, and thus to learn how one's own code can be fitted on top of QuantLib to reuse and benefit from provided functionality. The course will focus on QuantLib proper, i.e., on the C++ library and won't cover extensions such as the Excel addin.

This is a practical course for financial market participants.

GPUs, Monte Carlo Simulation and Kooderive with Professor Mark Joshi

DOWNLOAD REGISTRATION FORM HERE.

A case study of how to obtain 140 times speed-ups over C++ code for your Monte Carlo pricing models using the open source project Kooderive and a Tesla K20 graphics card.

This is a practical course for Financial Market Participants.

GPUs promise much in terms of raw computing power. The challenge lies in how to harness that power for computing derivatives prices. In this intensive 3-day course, we teach how to use the Kooderive code to develop millions of Monte Carlo paths for realistic complex cases in seconds. In particular, we look at how to implement the LIBOR market model and least-squares regression in a flexible efficient manner. The course demonstrates optimal design choices and how to achieve maximum performance from the GPU, while describing how these choices are expressed in the Kooderive code. At the end of the course, delegates will be familiar with the workings of Kooderive and be in a position to adapt it to their own ends.

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