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

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

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  • ISBN:9781482299663
  • Editorial: Crc Press Inc.
  • Fecha de la edición:
  • Encuadernación:
  • Nº Pág.:614
  • Idiomas:Ingles,Inglés

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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.

Part I: Computationally Expensive Problems in the Financial Industry

1. 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 Applications

14. 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. Practitioners 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]

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