High-performance computing in finance : problems, methods, and solutions
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Bibliographic Information
High-performance computing in finance : problems, methods, and solutions
（Chapman & Hall/CRC financial mathematics series）（A Chapman & Hall book）
CRC Press, c2018
- : hardback
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Note
Includes bibliographical references and index
Description and Table of Contents
Description
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.
Table of Contents
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
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