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We Have No Money, So We Have To Think
The Rutherford 1908 quote is appropriate in so many contexts but is useful in computational runtime optimization in quantitative finance in 2012 as well. Previously, in Totally Serial, we have shown...
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JPM CDS Pricing Model … there’s an App for that
ISDA and Markit offer the CDS JPM CDS code here for open source download since about 2009. James Zucker ported the code to an iPhone and recounted the tale in My First iPhone App. You can get the App...
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Street FP Due Diligence 2: Looking Epic maybe
The first step to getting a better estimate on the off-the-shelf runtime for credit curve cooking is to get a sense of how long the valuation of a quoted SNAC CDS (standardized default swaps, no custom...
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Street FP Due Diligence 3: Epic yet?
I am not gonna pay a lot for this muffler What is left to get a runtime estimate for the credit derivative batch on an off-the-shelf computer? We need a cooked credit curve (bootstraped hazard rate...
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Mac Pro+2s: 1 Supercomputer+FPGAs+4m: 0
Apart from saving over a million dollars infrastructure cost annually, why bother running your credit derivative P&L/Risk batch Mac Pro+2s rather than Supercomputer+FPGAs+4m? A. Rates, Mortgage,...
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Maxeler Clippings re JP Morgan Dec11
Wall Street Journal – here Maxeler Makes Waves with Dataflow Design HPCWire – here J.P. Morgan Deploys Maxeler Dataflow Supercomputer for Fixed Income Trading Peter Cherasia, Head of Markets...
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Flynn’s Architectural Case for Maxeler in 2012?
Take a look again at the Flynn case for Dataflow in his Maxeler video, here. I think the argument that is playing out on the video is predicated on the observation that Moore’s Law ceased delivering...
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Fooled by Fooled by Randomness
Zerohedge, The Second Act Of The JPM CIO Fiasco Has Arrived – Mismarking Hundreds Of Billions In Credit Default Swaps, here. Durden is off to the races! Bloomberg reports the London Whale positions...
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