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Claudio Albanese's research works | King's College …
https://www.researchgate.net/scientific-contributions/Claudio-Albanese-2162902672
Claudio Albanese's 67 research works with 784 citations and 3,749 reads, including: Recasting Finite Difference Methods in Finance to Exploit GPU Computing
The First Thalesian Full-Day Workshop: GPUs in Finance ...
https://thalesians.com/education/schools/first-thalesian-full-day-workshop-gpus-in-finance/
Claudio Albanese is a Visiting Professor at the Financial Mathematics Group at King’s College and an independent consultant at Global Valuation Ltd. He received his doctorate in Physics from ETH Zurich, following which he held post-doctoral positions at …
Callable Swaps, Snowballs and Videogames by Claudio ...
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1018468
See all articles by Claudio Albanese Claudio Albanese. Global Valuation. Date Written: September 1, 2007. ... we argue that the paradigm shift toward GPU architectures currently taking place in the high performance computing world can potentially change the situation and tilt the balance back in favor of a new generation of short rate models ...
The First Thalesian FullDay Workshop Programme: GPUs in ...
https://thalesians.com/wp-content/uploads/2020/11/Programme_GPUsinFinanceWorkshop.pdf
GPUs is a much more recent endeavour and demands new development directions. Claudio Albanese will start the afternoon session by describing a novel layer of software building blocks that are required for high performance financial derivative pricing, referred to as Basic Linear Algebra Subroutines
Author Page for Claudio Albanese :: SSRN
https://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=263639
Abstract: Restructuring Counterparty Credit Risk. Number of pages: 40 Posted: 21 Jun 2016. Claudio Albanese, Damiano Brigo and Frank Oertel. Global Valuation, Imperial College London - Department of Mathematics and The London School of Economics and Political Science (LSE) Downloads 77 (398,764) View PDF. Download.
XVA Analysis From the Balance Sheet - lpsm.paris
https://www.lpsm.paris/pageperso/crepey/papers/xva-analysis-balance.pdf
GPU implementation. The rst generation consisted of nested Monte Carlo implemented by explicit CUDA programming on GPUs (see Albanese, Caenazzo, and Cr epey (2017), Abbas-Turki, Diallo, and Cr epey (2018)). The second generation takes advantage of GPUs leveraging via pre-coded CUDA/AAD deep learning packages that are used for the XVA embedded re-
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