Dempster / Kanniainen / Keane High-Performance Computing in Finance

Problems, Methods, and Solutions
1. Auflage 2018
ISBN: 978-1-4822-9967-0
Verlag: Taylor & Francis
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 636 Seiten

Reihe: Chapman and Hall/CRC Financial Mathematics Series

This general book on high-performance computing in finance is academically and pragmatically relevant as it is built around real-life challenges. The text covers the newest techniques such as automatic differentiation, dataflow, and large scale computation for Basel III, Solvency II, and stochastic programming. With illustrative success stories in the use of high-performance computing in the finance and insurance industries, the book imparts the wisdom of adopting this method of numbers crunching to achieve business goals.

Autoren/Hrsg.

Dempster, M. A. H.

Kanniainen, Juho

Keane, John

Vynckier, Erik

Fachgebiete

• Mathematik | Informatik Mathematik Stochastik
• Mathematik | Informatik EDV | Informatik EDV & Informatik Allgemein

Inhaltsverzeichnis

Computationally Expensive Problems in the Financial Industry. Numerical Methods in HPC. HPC Systems: Hardware, Software, Data. Case Studies. Conclusion.

Über Autor(innen)

Erik Vynckier is chief investment officer at AllianceBernstein. He has extensive experience working in quantitative analysis, risk, and capital management for banks, insurers, and pension funds, and in structuring and trading financial instruments including derivatives.

Juho Kanniainen is a professor in financial engineering at Tampere University of Technology. He coordinates a Marie Curie international research and training program, HPCFinance (www.hpcfinance.edu), funded by the European Commission.