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 Ementa:

1. Financial Derivatives



Financial Contracts and Temporal Modal Logic

Pricing by Robust Replication

The Fundamental Theorem of Finance

Global Calibration

Local Calibration





2. High Performance and High Throughput Computing



Latest micro-architectures and current trends

SIMD and MIMD processors

High density CPU boards: Nehalem and Opterons

GPU microchips: Tesla, Cypress and Larrabee

PCIe and chipsets



3. Finance with Operator Methods



Semi-martingale property, high frequency trading and arbitrage

Markov Processes and Generators

Fast Exponentiation

Convergence in Graph Norm: Theory and Empirical Evidence

Single Precision Robustness

Monte Carlo Methods



4. OPLIB: Low Level Performance Critical Primitives



Third Level BLAS

Matrix Multiplication on the nVidia Tesla architecture

Matrix Multiplication on the AMD Juniper and Cypress architectures

Batching Strategies and Fourth Level BLAS

Optimizing Scenario Generation Algorithms



5. Model Design and Global Calibration



Model Design without Analytic Solvability

Combining Slow and Fast Factors

Equity Models

Foreign Exchange Models

Interest Rate Models

Examples of Global Calibration



6. Multi-Factor Models



Heterogeneous Clusters with High Density GPU and High Density CPU Nodes

Orchestrating a Kernel Factory

Dynamic Gaussian Copulas

Numerical Radon-Nykodym Derivatives and Sensitivity Analysis

Dynamic Portfolio Simulation



7. Single Factor Path Dependent Derivatives



Theory of Abelian Processes

Feynman-Kac-Girsanov-Ito Theorem

Moment Methods

Example 1: Exotic Volatility Derivatives

Example 2: Derivatives on Cliquets



8. Credit Modelling



Defaultable Equity Models

Aggregate Calibration Strategies and Industry Sector Analysis

CDS Curves

Dynamic Conditioning versus Dynamic Gaussian Copulas

CDO Calibration

Counterparty Risk


Responsáveis
Stefanella Boatto: lella@im.ufrj.br
Nelson Maculan: maculan@cos.ufrj.br