Output details

Rapid computation of value and risk for derivatives portfolios

<01>The first journal paper about programmable accelerators for computing value and risk for derivatives portfolios. This work, and the conference version at WHPCF’2010, underpin commercial operations at J.P. Morgan, leading to: (1) J.P. Morgan winning the “Most Cutting Edge IT Initiative” at the prestigious American Financial Technology Awards (AFTA) in 2011, as reported in the article “Supercomputer Manages Fixed Income Risk at J.P. Morgan” in Forbes Magazine on 20 March 2012; (2) J.P. Morgan purchasing 20% stake in Maxeler, a company founded by Mencer, in March 2011; (3) Mencer receiving the “Special Golden Arrow” award at com.sult 2012 (http://www.create-connections.com/com-sult/ruckblick/?y=180).