Portfolio managers and traders that use over the counter (OTC) derivatives often lack an accurate real-time view of the valuations and risk of their derivative positions, especially when trading exotic derivatives. Unlike liquid securities or exchange traded products, there is not always a market price available for OTC derivatives. These products therefore need to be valued according to models that accurately calculate their theoretical fair value. Obtaining real-time risk metrics for a portfolio of derivatives has been challenging, as the commonly used valuation techniques for these products are computationally expensive and require significant machine time. Portfolio valuations and risk calculations typically require overnight runs in a data center or the cloud.

This whitepaper reports the successful use of Artificial Neural Network models (ANNs) by Quantifi to model and deliver real-time pricing with an accuracy considered equivalent to conventional approaches such as numerical integration and Monte Carlo methods, which will be referred to as the conventional model in this whitepaper.

To access the full whitepaper, please visit: https://www.quantifisolutions.com/intel-and-quantifi-accelerate-derivative-valuations-by-700x-using-ai-on-intel-processors/