VB Advisory
Amsterdam, Nederland
Introduction: GPU and X-Valuation Adjustment
Scientific Computing on GPU's
The Graphics Processing Unit or GPU is used more and more for Scientific Computing. For relatively low costs one can obtain supercomputer performance. However, some work must be done to make an ordinary program suitable for use on the GPU. One of the important tools is the development of CUDA (Compute Unified Device Architecture). This is an extension of the C programming language, which can be used to program the GPU in an easy way. Furthermore, in many cases algorithms must be adapted to make them suitable for GPU computing. Finally, optimization of the algorithm, implementation and use of the hierarchy of the GPU is needed to obtain high speed-ups.
XVA calculations for derivatives portfolios
X-Valuation Adjustment is a collective term referring to several different “valuation adjustments” that banks must make when assessing the value of derivative positions that they have...