GPU computing in Finance

Very interesting presentation from Murex about their GPU computing. Some points were:
- GPU demand for mostly exotics pricing & greeks
- Local vol main model for EQD exotics. Local vol calibrated via PDE approach.
- Markov functional model becoming main model for IRD.
- Use of local regression instead of Longstaff Schwartz (or worse CVA like sim of sim).
- philox RNG from DE Shaw. But the presenter does not seem to know RNGs very well (recommended Brownian Bridge for Mersenne Twister!).
- An important advantage of GPU is latency. Grid computing only improves throughput but not latency. GPU improves both.

http://nvidia.fullviewmedia.com/gtc2010/0923-a7-2032.html

GPU computing in Finance

Very interesting presentation from Murex about their GPU computing. Some points were:
- GPU demand for mostly exotics pricing & greeks
- Local vol main model for EQD exotics. Local vol calibrated via PDE approach.
- Markov functional model becoming main model for IRD.
- Use of local regression instead of Longstaff Schwartz (or worse CVA like sim of sim).
- philox RNG from DE Shaw. But the presenter does not seem to know RNGs very well (recommended Brownian Bridge for Mersenne Twister!).
- An important advantage of GPU is latency. Grid computing only improves throughput but not latency. GPU improves both.

http://nvidia.fullviewmedia.com/gtc2010/0923-a7-2032.html

Pretty Fonts in Chrome with Linux

It's a bit incredible, but in 2012, some linux distros (like Fedora, or Kubuntu) still have trouble to have pretty fonts everywhere. I found a nice tip initially for Google Chrome but that seems to improve more than Chrome: create ~/.fonts.conf with the following:

[match target="font"]
    [edit name="autohint" mode="assign"]
      [bool]true[/bool]
    [/edit]
    [edit name="hinting" mode="assign"]
      [bool]true[/bool]
    [/edit]
    [edit mode="assign" name="hintstyle"]
      [const]hintslight[/const]
    [/edit]
[/match]

replace [ and ] with brackets < and >

Update from 2013 - This can be done system wide, see http://chasethedevil.blogspot.com/2013/08/better-fonts-in-fedora-than-in-ubuntu.html