The official workshop page is here on the NYU website.

I recorded most of my lectures and posted the AVI files below. I am also posting my handwritten notes and the lecture notes.

On Monday and Tuesday I gave an introduction to Financial Engineering using operator methods. From a numerical analysis standpoint, this mathematics is ideally suited to leverage on BLAS level 3 routines nicely implemented on GPUs. I also explained the reasons why these routines are stable and robust in single precision at the condition to select time steps so short as to satisfy the Courant stability condition for explicit Euler methods.I then went through various applications and case studies. The Tuesday afternoon portion of the recording unfortunately went lost; I went through the same presentation slides I used for the King's workshop and and my latest CDO paper.

Monday, First Unit
Monday, Second Unit
Monday, Third Unit
Monday, Fourth Unit
Tuesday, First Unit
Tuesday, Second Unit
Handwritten notes for the entire workshop
Lecture notes