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Coherent Global Market Simulations Claudio Albanese
 

Summary: Coherent Global Market Simulations
Claudio Albanese
November 9, 2010
1
On the course webpage
These slides.
Master thesis by Paul Papathomas (graduating in 2010 from
KCL and currently at Credit Suisse) entitled Rotating Frames:
A New Optimisation Algorithm for Global Calibration
Article by Claudio Albanese, Toufik Bellaj, Guillaume
Gimonet, Giacomo Pietronero, entitled Coherent Global
Market Simulations for Counterparty Credit Risk, (The FX
model in this paper is included in the Master Thesis of
Giacomo Pietronero, graduating in 2011 from LUISS
University and currently at Credit Suisse)
2
A period of sweeping changes
From vertical to horizontal risk management
Polymorphic software designs
From grid computing to heterogeneous computing

  

Source: Albanese, Claudio - Department of Mathematics, King's College London

 

Collections: Mathematics