Dev Hub

Accelerating Derivative Pricing Using AI on Intel Architecture

Abstract

Accurate and real-time pricing for a portfolio of derivatives can be generated locally or in the cloud using AI technology running on 3rd Generation Intel® Xeon® Scalable processors. This session focuses on successful use of Artificial Neural Network models (ANNs) by Quantifi on Intel Xeon Scalable processors to model and deliver real-time pricing with an accuracy considered equivalent to conventional approaches such as numerical integration and Monte Carlo methods.

Speaker

Sebastian Hahn, AI/ML Lead, Quantifi

Sebastian Hahn is the AI/ML lead at Quantifi. He has previously structured financial derivatives for BNP Paribas and holds two MSc degrees from the London School of Economics.