Quantifi & Intel Demonstrate How Artificial Intelligence Can Be Used to Accelerate Derivatives Valuations
Quantifi, a provider of risk, analytics and trading solutions and Intel, have published a joint whitepaper that explores how artificial intelligence (AI) can be used to accelerate derivatives valuations by 700x. Intel and Quantifi have demonstrated that accurate, 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.
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.
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 techniques. Intel engineers optimised the performance of the neural network in terms of speed and accuracy.
“One of the challenges market participants face is being able to calculate valuation and risk metrics within a reasonable timeframe. Using AI as a replacement for conventional methods is transformative as it changes how risk is managed. The Quantifi AI model introduces a new paradigm for financial management where portfolio managers can see a comprehensive set of real-time risk metrics on their whole portfolio,” comments Sebastian Hahn, AI Lead, Quantifi.
“We are excited to partner with Quantifi, a proven leader in delivering risk solutions for the financial services industry, to demonstrate how AI can be applied for accurate, real-time pricing for a portfolio of derivatives by taking advantage of Intel® Xeon® Scalable processors and key Intel technologies such as AVX512 and Intel Deep Learning Boost,” comments Mahesh Bhat, Director of Engineering HPC Financial Services, Intel Accelerated Computing Systems and Graphics Group. “These advances will allow customers to reach insights quickly and efficiently, transforming the way real time risk is managed,” continues Mahesh.
About Intel
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