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High-performance computing in finance : problems, methods, and solutions /

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Bibliographic Details
Corporate Author: Taylor & Francis
Other Authors: Dempster, M. A. H. (Michael Alan Howarth), 1938- (Editor), Kanniainen, Juho (Editor), Keane, John (Editor), Vynckier, Erik (Editor)
Format: eBook
Language:English
Published: Boca Raton, FL : CRC Press, [2018]
Series:Chapman & Hall/CRC financial mathematics series.
Subjects:
Finance > Mathematical models.
Finance > Data processing.
Finances > Modèles mathématiques.
Finances > Informatique.
BUSINESS & ECONOMICS > Finance.
Finance > Data processing
Finance > Mathematical models
Electronic books.
Online Access:Connect to the full text of this electronic book
Table of Contents:
  • Machine generated contents note: I. Computationally Expensive Problems in the Financial Industry
  • 1. Computationally Expensive Problems in Investment Banking / Mark Gibbs
  • 2. Using Market Sentiment to Enhance Second-Order Stochastic Dominance Trading Models / Xiang Yu
  • 3. Alpha Engine: Designing an Automated Trading Algorithm / Richard B. Olsen
  • 4. Portfolio Liquidation and Ambiguity Aversion / Sebastian Jaimungal
  • 5. Challenges in Scenario Generation: Modeling Market and Non-Market Risks in Insurance / Douglas McLean
  • II. Numerical Methods in Financial High-Performance Computing (HPC)
  • 6. Finite Difference Methods for Medium- and High-Dimensional Derivative Pricing PDEs / Rasmus Wissmann
  • 7. Multilevel Monte Carlo Methods for Applications in Finance / Lukasz Szpruch
  • 8. Fourier and Wavelet Option Pricing Methods / Cornelis W. Oosterlee
  • 9. Practical Robust Long-Term Yield Curve Model / Philipp Ustinov
  • 10. Algorithmic Differentiation / Jacques du Toit
  • 11. Case Studies of Real-Time Risk Management via Adjoint Algorithmic Differentiation (AAD) / Jacky Lee
  • 12. Tackling Reinsurance Contract Optimization by Means of Evolutionary Algorithms and HPC / Andrew Rau-Chaplin
  • 13. Evaluating Blockchain Implementation of Clearing and Settlement at the IATA Clearing House / Juan Ivan Martin
  • III. HPC Systems: Hardware, Software, and Data with Financial Applications
  • 14. Supercomputers / Peter Schober
  • 15. Multiscale Dataflow Computing in Finance / Georgi Gaydadjiev
  • 16. Manycore Parallel Computation / Mark Joshi
  • 17. Practitioner's Guide on the Use of Cloud Computing in Finance / Juho Kanniainen
  • 18. Blockchains and Distributed Ledgers in Retrospective and Perspective / Alexander Lipton
  • 19. Optimal Feature Selection Using a Quantum Annealer / Peter Goddard.