High-Performance Computing in Finance : Problems, Methods, and Solutions

✍ Scribed by Dempster, M. A. H.; Kanniainen, Juho; Keane, John; Vynckier, Erik

• Publisher: CRC Press
• Year: 2017
• Tongue: English
• Leaves: 637
• Series: Chapman and Hall/CRC Financial Mathematics Series
• Edition: First edition
• Category: Library

✦ Synopsis

"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-Wave’s 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. "--Provided by publisher. Read more...

Abstract: "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-Wave’s 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. "--Provided by publisher

✦ Table of Contents

Content: Part I: Computationally Expensive Problems in the Financial Industry1. Computationally Expensive Problems in Investment Banking[Jonathan Rosen, Christian Kahl, Russell Goyder, and Mark Gibbs]2. Using Market Sentiment to Enhance Second-Order Stochastic Dominance Trading Models[Gautam Mitra, Christina Erlwein-Sayer, Cristiano Arbex Valle, and Xiang Yu]3. The Alpha Engine: Designing an Automated Trading Algorithm[Anton Golub, James B. Glattfelder, and Richard B. Olsen]4. Portfolio Liquidation and Ambiguity Aversion[Alvaro Cartea, Ryan Donnelly, and Sebastian Jaimungal]5. Challenges in Scenario Generation: Modeling Market and Non-Market Risks in Insurance[Douglas McLean]Part II: Numerical Methods in Financial High-Performance Computing (HPC)6. Finite Difference Methods for Medium- and High-Dimensional Derivative Pricing PDEs[C. Reisinger and R. Wissmann]7. Multilevel Monte Carlo Methods for Applications in Finance[Michael B. Giles and Lukasz Szpruch]8. Fourier and Wavelet Option Pricing Methods[Stefanus C. Maree, Luis Ortiz-Gracia, and Cornelis W. Oosterlee]9. A Practical Robust Long-Term Yield Curve Model[M. A. H. Dempster, Elena A. Medova, Igor Osmolovskiy, and Philipp Ustinov]10. Algorithmic Differentiation[Uwe Naumann, Jonathan Huser, Jens Deussen, and Jacques du Toit]11. Case Studies of Real-Time Risk Management via Adjoint Algorithmic Differentiation (AAD)[Luca Capriotti and Jacky Lee]12. Tackling Reinsurance Contract Optimization by Means of Evolutionary Algorithms and HPC[Omar Andres Carmona Cortes and Andrew Rau-Chaplin]13. Evaluating Blockchain Implementation of Clearing and Settlement at the IATA Clearing House[Sergey Ivliev, Yulia Mizgireva, and Juan Ivan Martin]Part III: HPC Systems: Hardware, Software, and Data with Financial Applications14. Supercomputers[Peter Schober]15. Multiscale Dataflow Computing in Finance[Oskar Mencer, Brian Boucher, Gary Robinson, Jon Gregory, and Georgi Gaydadjiev]16. Manycore Parallel Computation[John Ashley and Mark Joshi]17. Practitioner's Guide on the Use of Cloud Computing in Finance[Binghuan Lin, Rainer Wehkamp, and Juho Kanniainen]18. Blockchains and Distributed Ledgers in Retrospective and Perspective[Alexander Lipton]19. Optimal Feature Selection Using a Quantum Annealer[Andrew Milne, Max Rounds, and Phil Goddard]

✦ Subjects

Supercomputing.;Financial Mathematics.;Statistics for Business, Finance & Economics.;STATSnetBASE.;MATHnetBASE.;SCI-TECHnetBASE.;COMPUTERSCIENCEnetBASE.;INFORMATIONSCIENCEnetBASE.;STMnetBASE.