Need for Speed: Technology Challenges Solutions for OTC Derivatives
The business of derivatives is becoming a technology race. Prior to the 2007-2009 crisis, much of the focus of technology development for derivatives was centred on exotic products such as callable libor structures and CDOs. After the crisis the market for exotic derivatives collapsed, but quants realised that so-called vanilla derivative products were actually far more complex than previously thought. Presently it takes unprecedented computational power just to compute the bare minimum, not to mention being at the front line. To make it even more challenging, the upcoming regulation is going to stretch computational needs even further.
In this seminar two of the most authoritative names in the Derivatives space will share their views with us.
Ignacio Ruiz will look at the current technologies that stand up to them (AAD, GPU, AMC, etc) and in particular at a new and disruptive approach (APA/AGA) that delivers performance improvements in the orders of magnitude range:
Technology solutions to the present challenges
Overview of current solutions: GPUs, AAD, AMC, etc
Overview of APA/AGA – a new disruptive approach
Impact of solutions
Strengths and pitfalls