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Andrew Sheppard, Consultant, Fountainhead Corp

Andrew Sheppard

Andrew Sheppard is a financial consultant with extensive experience in quantitative financial analysis, trading-desk software development, and technical management. Most recently, from 2006 to 2010, Andrew worked at a New York multi-strategy hedge fund. He also was the manager of an innovative software company based in London that was owned by the hedge fund but run independently. For more than three years, Andrew has been an active developer of GPU massively parallel software in C/C++ for real-time financial trading and risk.

Presentation: "GPUs in FINANCE"

Time: Tuesday 16:50 - 17:50

Location: Robinson/Whitman

Abstract:

GPUs are finding wide application in finance, from real-time risk to pricing of complex deals. GPUs are also tackling many of the "Big Data" problems in finance. This talk will first give an overview of where and how GPUs are being used throughout finance, and will then focus on one specific technique that has a strong affinity for many problems in finance: Monte-Carlo on GPUs.