A derivatives professional values complex exotic options modeled by an advanced volatility model. The chosen model influences the theoretical price and it takes scenario runs to find the best one.
To calculate reliable prices each model needs to be calibrated to market data. She decided to use vanilla options on the underlying FTSE 100, Dax, Renault, Allianz, ... with volatility matrices for different strikes / expiries ... To do the calibration right and obtain parameters exhibiting a time stable and robust fit, clever optimization algorithms are a must ....
A single calibration task often more than 1 million single valuations. With traditional approaches this will most probably take 8 hours on a CPU. Considering that the process needs to be performed many times this is hopeless. Is it really?
At the MathFinance Conference in Frankfurt we have shown, how this can be done in 8 sec - see the Can You Feel The Heat presentation.
In about a month we will release UnRisk 5. It will have optimized CUDA support to solve the above task and alike blazingly fast. The engines are called from Mathematica 8. Mathematica 8 has CUDA Support which we instantiate with our proprietary algorithms.
In our comprehensive tests we utilized a 6 CPU Core machine with only one NVIDIA Tesla C2070 card. The derivatives expert should be already impressed with the time reduction from 8h to 8sec.
But, this is not the end - it is the beginning. If we multiply our grid computing speed-up with the new GPU acceleration, utilizing multiple NVIDIA Tesla cards, we can bring timing into fractions of seconds, for valuation and analytics tasks that have been assessed as undoable before.
This will create new perspectives for quant finance professionals and their customers and users.
Pre-announcement: Wolfram, NVIDIA and us will present the related technologies and the latest results in FREE Seminars on
6-Jun-11 in London
7-Jun-11 in Paris
14-Jun-11 in Zurich
15-Jun-11 in Frankfurt
Reserve the dates, I will update this info very soon.