High-Performance Computing in Finance (eBook, PDF)

Problems, Methods, and Solutions
Redaktion: Dempster, M. A. H.; Vynckier, Erik; Keane, John; Kanniainen, Juho

• Format: PDF

Produktbeschreibung

Intended for practitioners, researchers and graduate students in quantitative finance, computer science and related fields, this book serves as a handbook for design and implementation of financial models with relevant numerical methods on different HPC platforms in banks, insurance companies, pensions, asset-management companies and trading firms.

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Produktdetails

• Verlag: Taylor & Francis eBooks
• Seitenzahl: 636
• Erscheinungstermin: 21. Februar 2018
• Englisch
• ISBN-13: 9781482299670
• Artikelnr.: 53291309

Autorenporträt

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 Government's 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.

Inhaltsangabe

Part I: Computationally Expensive Problems in the Financial Industry 1.
Computationally Expensive Problems in Investment Banking 2. Using Market
Sentiment to Enhance Second-Order Stochastic Dominance Trading Models 3.
The Alpha Engine: Designing an Automated Trading Algorithm 4. Portfolio
Liquidation and Ambiguity Aversion 5. Challenges in Scenario Generation:
Modeling Market and Non-Market Risks in Insurance Part II: Numerical
Methods in Financial High-Performance Computing (HPC) 6. Finite Difference
Methods for Medium- and High-Dimensional Derivative Pricing PDEs 7.
Multilevel Monte Carlo Methods for Applications in Finance 8. Fourier and
Wavelet Option Pricing Methods 9. A Practical Robust Long-Term Yield Curve
Model 10. Algorithmic Differentiation 11. Case Studies of Real-Time Risk
Management via Adjoint Algorithmic Differentiation (AAD) 12. Tackling
Reinsurance Contract Optimization by Means of Evolutionary Algorithms and
HPC 13. Evaluating Blockchain Implementation of Clearing and Settlement at
the IATA Clearing House Part III: HPC Systems: Hardware, Software, and Data
with Financial Applications 14. Supercomputers 15. Multiscale Dataflow
Computing in Finance 16. Manycore Parallel Computation 17. Practitioner's
Guide on the Use of Cloud Computing in Finance 18. Blockchains and
Distributed Ledgers in Retrospective and Perspective 19. Optimal Feature
Selection Using a Quantum Annealer