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Credit Derivatives
So, a major broker-dealer gets a 2011 industry award for running their overnight Risk and P&L credit derivative batch though a 1000 node CPU grid and some FPGAs in 238 seconds (in 2008 the same...
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Mac Pro+2s: 1 Supercomputer+FPGAs+4m: 0
Apart from saving over a million dollars infrastructure cost annually, why bother running your credit derivative P&L/Risk batch Mac Pro+2s rather than Supercomputer+FPGAs+4m? A. Rates, Mortgage,...
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Why Read the Heroes?
A small informal effort like Pink Iguana needs to lean heavily on curation for a specific audience. How narrow is the audience? Take the entire massive EcoFin community of DeLong, Wilmott, and Mankiw...
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BBC 4 is getting close … too close
BBC News magazine, Black-Scholes: The maths formula linked to the financial crash, here. It’s not every day that someone writes down an equation that ends up changing the world. But it does happen...
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Picking a FinQuant Platform
Extreme Tech, Ivy Bridge: Intel’s killing blow on AMD, here. Let’s look at this again. For the FinQuant application space I’d estimate somewhere between 50% and 85% of what you care about in selecting...
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Team Firm Risk: 0 Taleb: 2Bn (halftime)
Al Pacino, Any Given Sunday, here; or Clint Eastwood, here. Now we are going to have to endure a seemingly endless stream of Taleb’s gloating i-have-been-warning-you-about-VaR-for-years interviews; the...
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If you had Taleb, JP Morgan, VaR, BBC, and John Gotti you win
Business Insider, NASSIM TALEB EXPLODES: JP Morgan’s Ina Drew Was Paid More Money Than Mob Boss John Gotti For Taking Risks With Our Money, here. Taleb’s anger followed by the Donna Summer tribute...
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Godson, ARM v Intel, Willmott Quant Blogs, Pony Physics, and the ECB.
Bill Dally, EE Times, Q&A: Nvidia’s Dally on 3-D ICs, China, cloud computing, here. More complete interview reporting that HPC Wire recently summarized. EE Times may make you register for this but...
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Recruiter List
Bunch of folks telling the Pink I they are going to be checking in with the recruiters soon. Who’s out there? Kornbluth, Scott @ Revolution … the Elvis of IT recruiters Issacson, Robin @ Issacson...
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Quants are like Attentive Prostitutes
David Runciman, Business Insider, If Nassim Taleb Really Does Like Negative Reviews, Then He Should Read This Article, here. Antifragile is not all bad: it has flashes of wit and insight. Taleb says...
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