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Please, register here.
9:30 am - 10:00 am Welcome coffee 10:00 am - 11:00 am Invited Keynote Talk Random Number Generation Pierre L'Écuyer, University of Montréal 11:00 am - 11:30 am Distribution of Stochastic Control in Large Dimension Xavier Warin, EDF 11:30 am - 12:00 pm Exotic European Options on GPUs Abbas Turki, CERMICS 12:00 pm - 12:30 pm Cluster of GPUs Stephane Vialle, Supelec 12:30 pm - 1:00 pm Premia Consortium Overview: A platform for Pricing Financial Derivatives Antonino Zanette, University of Udine, Italy 1:00 pm - 2:30 pm Lunch 2:30 pm - 3:00 pm High Dimensional American Option Pricing with ProActive Abhijeet Gaikwad, OASIS 3:00 pm - 3:30 pm Grid and Multi-core Processing for Sensitivities Pierre-Yves Rivaille, Pricing Partners 3:30 pm - 4:00 pm Non-linear Aggregations in Large-Scale Multi-Dimensional Cubes Georges Bory, Quartet Financial Systems 4:00 pm - 4:30 pm Coffee break 4:30 pm - 5:00 pm ProActive Parallel Matlab and Scilab: Application to Finance Fabien Viale, OASIS Invited Talks: Industrial Solutions for Computational Finance with Grid 5:00 pm - 5:30 pm Oracle Coherence for Finance Applications Ewan Slater, Oracle |
Demonstrations 5:30 pm - 5:50 pm PicsouGrid: European and American Pricing with ProActive Abhijeet Gaikwad - Fabien Viale - Viet Dung Doan, OASIS INRIA-UNSA-CNRS 5:50 pm - 6:10 pm Distributed PRICE-IT with ProActive Pierre-Yves Rivaille, Pricing Partners, Vladimir Bodnartchouk, ActiveEon 6:10 pm - 6:30 pm Parallel PREMIA Workflow on Multi-Cores and Grids using ProActive Fabien Viale, OASIS INRIA-UNSA-CNRS, Bernard Lapeyre, ENPC-CERMICS |
6:30 pm - 8:00 pm Welcome Drink and Reception |
