Remember me

Register  |   Lost password?


Introduction to QuantLib Development - Intensive 3-day Training Course - September 10-12th, 2018 - Download Registration Form Here

 
Bookmark & Share

Short Description: GVL pioneer an approach to high throughput portfolio processing based on single node technologies and global valuation.

City: London

Country: UK

Website: http://www.global-valuation.com

Joined: August 18th, 2011

Activity

Global Valuation Limited bookmarked Coherent Global Market Simulations for Counterparty Credit Risk (pdf) (2707 days ago)

Global Valuation Limited bookmarked Optimal Funding Strategies for Counterparty Credit Risk Liabilities (pdf) (2707 days ago)

Global Valuation Limited bookmarked A redesign for central clearing (pdf) (2707 days ago)

About:

  • GVL pioneered an approach to high throughput portfolio processing based on single node technologies and global valuation.
  • The concept of global valuation derives from the Fundamental Theorem of Finance according to which pricing models should be used consistently across all instruments in any given portfolio.
  • Single-node architectures revolve around the concept that valuation tasks for portfolios are not parcelled out on a grid but are instead loaded on a single and capable compute node. Grid parallelism is used only to scale up scenario numbers.
  • Within the context of single-node designs, global valuation allows one to achieve sublinear performance ratios, whereby the larger is the portfolio the greater is the performance on a per-instrument basis.