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Event: IAQF /Thalesians Seminar Series
Date: Wednesday, November 13, 2013
Time: 5:45pm Registration, 6:00pm Seminar, 7:30pm Reception
NYU Kimmel Center
Room 914
60 Washington Square South
New York, NY 10012

Real Time Counterparty Credit Risk Management with Adjoint Algorithmic Differentiation (AAD)
A Talk by Luca Capriotti


Adjoint algorithmic differentiation can be used can be used to implement efficiently the calculation of counterparty credit risk. We demonstrate how this powerful technique can be used to reduce the computational cost by hundreds of times, thus opening the way to real time risk management in Monte Carlo

Luca works in Quantitative Strategies (QS, formerly GMAG) in the London where he is head for Global Credit Products EMEA. He is currently focusing on modeling in the areas of Flow and Structured Credit, Algo trading, Risk Management of a Bank's own credit, and Counterparty Credit Risk Management. He is also working on developing efficient and general multi-asset pricing engines supporting fast calculation of the Greeks for which he has a Patent pending. Previous to this role, he was US head of Quantitative Strategies Global Credit Products, he worked in Credit and Commodities in New York and London, and was part of the cross-asset modeling R&D group of GMAG in the London office.

Prior to working in Finance, Luca was a researcher at the Kavli Institute for Theoretical Physics, Santa Barbara, California, working in the field of High Temperature Superconductivity and Quantum Monte Carlo methods for Condensed Matter systems. He has been awarded the Director's fellowship at Los Alamos National Laboratory, the Wigner Fellowship at Oak Ridge National Laboratory, and he has published over 50 scientific papers, with the top 3 papers collecting to date over 500 citations.

Luca holds a M.S. cum laude in General Physics from University of Florence (1996), and a M.Phil. and Ph.D. cum laude in Condensed Matter Theory, from the International School for Advanced Studies, Trieste (2000).

The IAQFs Thalesians Seminar Series is a joint effort on the part of the IAQF (www.iaqf.org) and the Thalesians (www.thalesians.com). The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion.


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