S5522 - Optimizing Performance of Financial Risk Calulations
Associate Consultant, Tata Consultancy Services Limited
Amit Kalele is working as a associate consultant with Center of Excellence for optimization and parallelization and leads the GPU initiative. His primary areas of work are performance engineering, high performance computing and parallel programming. Prior to TCS he was associated with Computational Research labs as a scientist. Amit received his Ph.D. in Electrical Engineering from IIT Bombay in 2005.
Manager - Developer Technology, NVIDIA
Pradeep Kumar Gupta is currently working as Manager, Developer Technology, Asia South at NVIDIA Pune, India.
Assistant Consultant, Tata Consultancy Services, India
Mahesh Barve is associated with Center of Excellence for Parallelization and Optimization at Tata Consultancy Services. His area of interest are performance optimization, parallel computing. Mahesh received his M.Tech from IIT Bombay in Electrical Engineering in 2005 and has previously worked as a researcher at the Tata Institute of Fundamental Research and Symantec Corp.
Risk management is a classical problem in ﬁnance. Value at Risk (VaRs) and Incremental Risk Charge (IRC), are used as important measures to quantify market and credit risk. The large number of instruments or assets and their frequent revaluations makes them a signiﬁcant computational task. These computations are repeated many times in the tasks like back testing, deal synthesis and batch jobs, which runs over night or for days, a signiﬁcant reduction in turn around time can be achieved. The current state-of-the-art platforms like, K40 GPU, not only enables fast computations but also reduces the computational cost in terms of energy requirement. In this talk we present the performance tuning the VaR estimation problems, option pricing and IRC calculation on latest NVIDIA platforms.
Tags: Finance; Developer - Performance Optimization