Industry Luminaries Join NVIDIA and NYU for Financial Computing Summit

By Peter Varhol

On January 12-14, at New York University, NVIDIA (Santa Clara, CA) will join NYU Courant School of Mathematical Sciences to host a three-day workshop on how to dramatically improve financial pricing models with CUDA and GPU Computing. The workshop provides a comprehensive introduction to derivative pricing and GPU computing, emphasizing model-agnostic system design.

  Claudio Albanese, visiting professor of mathematical finance at King’s College of London, will present the mathematical background for derivative pricing using GPUs and illustrate the theory with practical examples. Other industry veterans such as Gerry Hanweck from Hanweck Associates and Petter Kolm from the Mathematics in Finance M.S. program at the Courant Institute will discuss real-world cases where GPUs are being used in quantitative financial modeling to dramatically enhance the valuation,  calibration and risk management of derivatives.

  Sources:  Press materials received from the company and additional information gleaned from the company’s website.