Rapid computation of value and risk for derivatives portfolios

Abstract

We report new results from an on-going project to accelerate derivatives computations. Our earlier work was focused on accelerating the valuation of credit derivatives. In this paper, we extend our work in two ways: by applying the same techniques, first, to accelerate the computation of portfolio level risk for credit derivatives and, second, to different asset classes using a different type of mathematical model, which together present challenges that are quite different to those dealt with in our earlier work. Specifically, we report acceleration over 270 times faster than a single Intel Core for a multi-asset Monte Carlo model. We also explore the implications for risk. Copyright © 2011 John Wiley & Sons, Ltd.