Title:
Marking to Market for Margin Calls to honor Inter-Bank Collateral Service Agreement: Underlying problems and Computational
Challenges
Date:
Thursday, March 28, 2013 @ 1:00pm
Location:
E2-304 EITC Building, University of Manitoba Fort Garry Campus
Speaker:
Dr. Ruppa Thulasiram,
Department of Computer Science,
University of Manitoba
Abstract:
The banking regulations have significantly changed since the 2008 market crash and the new regulations require banks and financial institutions to mark or adjust their holdings to market or more commonly known as mark to market, on daily basis. The Dodd-Frank wall street reforms require strict mark to market and reporting procedures. The Canadian counter part of Dodd-Frank will soon be implemented. This problem has huge implication to market participants in many ways.
In this talk, after explaining the terminologies I will discuss some of the problems that require close attention for the purpose of marking to market. Specifically, I will discuss one sector of the market where huge money is involved, the derivative markets. I will describe the problem of derivative pricing with continuous-time and discrete-time models. I will explain how and why solving these models for pricing is essential and hence use the results to the problem at hand on collateral service agreement. Then, I will go into the mathematical/computational solution of the derivative pricing problem
explaining how knowledge from physical engineering sciences comes into play in solving these models. I explore the opportunities we have with state-of-the-art computer architectures such as GPUs and APUs and show some of the implementation results on these architectures.
I will conclude the talk with the potential that computational sciences offer to solve problems in finance that needs real time calibration of models based on current data for efficient and profitable trading. If time permits, I will mention how I am using this knowledge and experience to address problems in two different areas: Cloud resources pricing and pricing transmission rights in electricity market.
Cost:
This will be a free event.
Contact:
If you would like additional information or if you might be interested in presenting a seminar, please contact Stephane Durocher or the Department of Computer Science.
