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Market risk analysis is a computationally intensive problem which requires powerful computing resources. To enable consistent comparisons of vendors' technologies in this area the Securities Technology Analysis Center (STAC<sup>*</sup>), with inputs from leading trading companies, universities, and high performance computing vendors, has created(More)
In this paper we present the Intel ® Math Kernel Library (MKL) as a mathematical software package for scientific and technical computation designed for ease of use in environments that can vary greatly. Ease of use includes the build environment (use with different compilers), optimal performance on multiple platforms (automated selection of code based on(More)
In the past 20 years, computerization has driven explosive growth in the volume of financial markets and in the variety of traded financial instruments. Increasingly sophisticated mathematical and statistical methods and rapidly expanding computational power to drive them have given rise to the field of computational finance. The wide applicability of these(More)
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