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]