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When Sony launched its Playstation 2 games console in 2000, its graphics processor chip was so powerful that the Japanese government classified it as a weapon. Modern graphics processing units (GPUs) are orders of magnitude more capable than conventional computer processors - and may open the door to faster modelling of complex, long-dated derivatives.

Claudio Albanese, a derivatives modelling consultant and professor of mathematical finance at King's College, London, has been working on the

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