High-Performance Computing (HPC) delivers higher computational performance to solve problems in science, engineering and finance. There are various HPC resources available for different needs, ranging from cloud computing that can be used without much expertise and expense to more tailored hardware, such as Field-Programmable Gate Arrays (FPGAs) or D-Waves quantum computer systems. High-Performance Computing in Finance is the first book that provides a state-of-the-art introduction to HPC for finance, capturing both academically and practically relevant problems.
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| Contributors |
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| Introduction |
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xvii | |
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I Computationally Expensive Problems in the Financial Industry |
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1 | (172) |
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1 Computationally Expensive Problems in Investment Banking |
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3 | (22) |
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2 Using Market Sentiment to Enhance Second-Order Stochastic Dominance Trading Models |
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25 | (24) |
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3 The Alpha Engine: Designing an Automated Trading Algorithm |
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49 | (28) |
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4 Portfolio Liquidation and Ambiguity Aversion |
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77 | (38) |
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5 Challenges in Scenario Generation: Modeling Market and Non-Market Risks in Insurance |
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115 | (58) |
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II Numerical Methods in Financial High-Performance Computing (HPC) |
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173 | (238) |
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6 Finite Difference Methods for Medium- and High-Dimensional Derivative Pricing PDEs |
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175 | (22) |
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7 Multilevel Monte Carlo Methods for Applications in Finance |
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197 | (52) |
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8 Fourier and Wavelet Option Pricing Methods |
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249 | (24) |
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9 A Practical Robust Long-Term Yield Curve Model |
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273 | (42) |
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10 Algorithmic Differentiation |
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315 | (24) |
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11 Case Studies of Real-Time Risk Management via Adjoint Algorithmic Differentiation (AAD) |
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339 | (32) |
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12 Tackling Reinsurance Contract Optimization by Means of Evolutionary Algorithms and HPC |
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371 | (20) |
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Omar Andres Carmona Cortes |
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13 Evaluating Blockchain Implementation of Clearing and Settlement at the IATA Clearing House |
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391 | (20) |
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III HPC Systems: Hardware, Software, and Data with Financial Applications |
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411 | (178) |
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413 | (28) |
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15 Multiscale Dataflow Computing in Finance |
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441 | (30) |
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16 Manycore Parallel Computation |
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471 | (38) |
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17 Practitioner's Guide on the Use of Cloud Computing in Finance |
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509 | (28) |
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18 Blockchains and Distributed Ledgers in Retrospective and Perspective |
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537 | (24) |
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19 Optimal Feature Selection Using a Quantum Annealer |
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561 | (28) |
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| Index |
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589 | |
Michael Dempster is Professor Emeritus, Centre for Financial Research, University of Cambridge. He has held research and teaching appointments at leading universities globally and is founding Editor-in-Chief of Quantitative Finance. His numerous papers and books have won several awards and he is Honorary Fellow of the IFoA, Member of the Academia dei Lincei and Managing Director of Cambridge Systems Associates.
Juho Kanniainen is Professor of Financial Engineering at Tampere University of Technology, Finland. He has served as Coordinator of two international EU-programmes, HPC in Finance (www.hpcfinance.eu) and Big Data in Finance (www.bigdatafinance.eu). His research is broadly in quantitative finance focusing on computationally expensive problems and data-driven approaches.
John Keane is Professor of Data Engineering in the School of Computer Science at the University of Manchester, UK. As part of the UK Governments Foresight Project, The Future of Computer Trading in Financial Markets, he co-authored a commissioned economic impact assessment review. He has been involved in both the EU HPC in Finance and Big Data in Finance programmes. His wider research interests are data and decision analytics, and related performance aspects.
Erik Vynckier is board member of Foresters Friendly Society, partner of InsurTech Venture Partners and Chief Investment Officer of Eli Global, following a career in banking, insurance, asset management and petrochemical industry. He co-founded EU initiatives on high performance computing and big data in finance. Erik graduated as MBA at London Business School and as chemical engineer at Universiteit Gent.
