Traders and Portfolio Managers in hedge funds and investment banks managing complex derivative portfolios are often not able to view their risks in real time as risk calculations are too computationally demanding. Traditional valuation techniques often use expensive methods like numerical integration and Monte Carlo simulation. We take a conventional model for the valuation of credit options and train an Artificial Neural Network (ANN) to perform the same valuations achieving a speedup of 700x. An improvement of 700x opens up the possibility for financial institutions to move from overnight batch risk calculations to live risk calculations transforming the ways in which they can manage risk. The speedup is achieved by a combination of switching from numerical integration to ANN and using Intel Optimized version of TensorFlow (AVX512) on Intel's newest Ice Lake processors.
Sebastian currently leads Quantifi's AI/ML efforts focusing on derivative valuations. He has previously structured foreign exchange and commodity derivatives at BNP Paribas and holds two MSc degrees from the London School of Economics.