SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 273 matches

  • 1
  • 2
  • 3
  • 4
  • 5
  • 19
by ashkar
April 24th, 2015, 6:41 am
Forum: Programming and Software Forum
Topic: sample cuda problems in finance
Replies: 143
Views: 53598

sample cuda problems in finance

<t>QuoteOriginally posted by: CuchulainnQuoteSpot(x) Time(y) CPU GPU GPU/CPU100 100 0.00 0.1998 0.01500 100 0.01 0.047 0.111000 500 0.02 0.93 0.032000 500 0.06 0.98 0.065000 500 0.34 1.15 0.2910000 500 0.87 1.34 0.6520000 500 1.99 1.625 1.2230000 500 3.07 1.89 1.6240000 500 4.10 2.23 1.8480000 1000 ...
by ashkar
April 24th, 2015, 6:32 am
Forum: Programming and Software Forum
Topic: sample cuda problems in finance
Replies: 143
Views: 53598

sample cuda problems in finance

<r>QuoteOriginally posted by: CuchulainnHi ashkar,Thank you for your kind offer. Let's do it!QuoteIn general what i saw was that simple implicit method which require solving a set of linear equations doesnt scale well on cuda (or any parallel proc env) for the problem sizes we face in option pricing...
by ashkar
April 23rd, 2015, 7:02 am
Forum: Programming and Software Forum
Topic: sample cuda problems in finance
Replies: 143
Views: 53598

sample cuda problems in finance

<t>QuoteOriginally posted by: CuchulainnEveryone talks about MC which is simple maths and is embarrassingly parallel.. What about other examples on CUDA?ADI??Hi cuchI can try and cudafy an ADI scheme example if you can send me one.In general what i saw was that simple implicit method which require s...
by ashkar
April 20th, 2015, 5:39 pm
Forum: Programming and Software Forum
Topic: sample cuda problems in finance
Replies: 143
Views: 53598

sample cuda problems in finance

<t>In my limited experience (~1 month) of playing around with CUDA, I got my basic CUDA implementation of pricing to run ~4x faster after reading and applying CUDA specific optimisation such as utilising memory hierarchy and low level implementation details of the cores and scheduler. 4x is a big di...
by ashkar
March 9th, 2015, 3:12 pm
Forum: Careers Forum
Topic: Maximizing compensation
Replies: 14
Views: 4959

Maximizing compensation

<t>QuoteOriginally posted by: boldFor the past 3+ years I've worked as Electronic Trading Developer on a top-tier IB in the City.I like what I do but not happy with my comp.What is the best way to get the highest paying job on the market? Which areas are popular nowadays? Systematic trading? Data Sc...
by ashkar
March 5th, 2015, 7:43 am
Forum: Programming and Software Forum
Topic: Palantir
Replies: 11
Views: 4217

Palantir

we use them on the desk. It seems to be very powerful although at the moment we dont have a lot of data plugged in so we're not using a lot of the advanced features. The ui is very slick.
by ashkar
February 5th, 2015, 9:39 am
Forum: Careers Forum
Topic: use c++ or c# in validation
Replies: 14
Views: 4752

use c++ or c# in validation

Keep it simple...if the base library is in .net then write your stuff in .net. It will avoid a lot of dirty hacks in the future.
by ashkar
December 29th, 2014, 2:21 pm
Forum: Programming and Software Forum
Topic: Excel DNA + Excel 2010 + VS Express 2010
Replies: 30
Views: 31548

Excel DNA + Excel 2010 + VS Express 2010

Attach to process doesnt work for me with Excel-DNA for some reason. I didnt bother looking why though...Instead I launch Excel from VS2010 and pass the XLL as argument.
by ashkar
December 10th, 2014, 9:17 am
Forum: Careers Forum
Topic: Lost my job - What's next?
Replies: 40
Views: 12153

Lost my job - What's next?

You could look into some risk consultancies or banking project management. I have always thought that might be a graceful exit point for senior people in trading.
by ashkar
December 5th, 2014, 2:42 pm
Forum: Careers Forum
Topic: Undergraduate advice needed
Replies: 14
Views: 5738

Undergraduate advice needed

<t>QuoteOriginally posted by: vspI happen to be very interested in programming and being quite good at it. Next year I'll be finishing my B. A. in computer engineering from a reputable university in Portugal and would like to ask you for some advice on what to do next. My idea is, after graduating, ...
by ashkar
November 6th, 2014, 8:42 am
Forum: Careers Forum
Topic: What's up with Selby Jennings???
Replies: 11
Views: 7760

What's up with Selby Jennings???

They bombard job sites with nice sounding job adverts to catch newbees. All of those postings are fake.
by ashkar
October 22nd, 2014, 8:22 am
Forum: Careers Forum
Topic: Kickstart career as a trader
Replies: 1
Views: 3911

Kickstart career as a trader

I doubt recruiters will put you forward unless you have experience. Best way to do this is internally but dont get your hopes up. There are other useful threads on the topic too.
by ashkar
October 10th, 2014, 11:04 am
Forum: Careers Forum
Topic: FX spot trading
Replies: 8
Views: 4343

FX spot trading

<t>I am with you on that. Take the role. You are close enough to the algo area to evaluate the opportunities as and when they pop up later. As for whether manual trading will continue declining...in my view a lot of cuts that had to be done due to electronic markets have already happened. Algo is an...
by ashkar
October 10th, 2014, 8:13 am
Forum: Careers Forum
Topic: FX spot trading
Replies: 8
Views: 4343

FX spot trading

<t>What quant team is your next rotation in? If its in algo side then might be worth the risk as it looks like you really want to do it. Without a masters/phd there is a good chance that you will not be offered a full time position in a quant team after your rotation.In my opinion, take the offer. I...
by ashkar
October 1st, 2014, 1:08 pm
Forum: Careers Forum
Topic: Tier 2 Model Validation - Good place to start?
Replies: 26
Views: 7076

Tier 2 Model Validation - Good place to start?

<t>Its not a nice thing to do but you could sign the mv contract and continue looking. If you do find a much better job, you can effectively cancel the contract...I know of one example who did this at grad stage and managed to pull it off with just a minor reprimand from hr. I dont know legal stuff ...
  • 1
  • 2
  • 3
  • 4
  • 5
  • 19
GZIP: On