2014 Seventh Workshop on High Performance Computational Finance

16-16 Nov. 2014

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Displaying Results 1 - 14 of 14
  • [Title page iii]

    Publication Year: 2014, Page(s): i
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  • [Copyright notice]

    Publication Year: 2014, Page(s): ii
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  • Table of contents

    Publication Year: 2014, Page(s): iii
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  • WHPCF'14 Steering Committee Welcome

    Publication Year: 2014, Page(s): iv
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  • WHPCF'14 Program Committee Members

    Publication Year: 2014, Page(s): v
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  • GPU Implementation of Finite Difference Solvers

    Publication Year: 2014, Page(s):1 - 8
    Cited by:  Papers (4)
    Request permission for reuse | Click to expandAbstract | PDF file iconPDF (324 KB) | HTML iconHTML

    This paper discusses the implementation of one-factor and three-factor PDE models on GPUs. Both explicit and implicit time-marching methods are considered, with the latter requiring the solution of multiple tridiagonal systems of equations.Because of the small amount of data involved, one-factor models are primarily compute-limited, with a very good fraction of the peak compute capability being ac... View full abstract»

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  • A Systematic Methodology for Analyzing Closed-Form Heston Pricer Regarding Their Accuracy and Runtime

    Publication Year: 2014, Page(s):9 - 16
    Request permission for reuse | Click to expandAbstract | PDF file iconPDF (433 KB) | HTML iconHTML

    Calibration methods are the heart of modeling any financial process. While for the Heston model (semi) closed-form solutions exist for calibrating to simple products, their evaluation involves complex functions and infinite integrals. So far these integrals can only be solved with time-consuming numerical methods. For that reason, calibration consumes a large portion of available compute power in ... View full abstract»

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  • Speeding up Large-Scale Financial Recomputation with Memoization

    Publication Year: 2014, Page(s):17 - 22
    Cited by:  Papers (1)
    Request permission for reuse | Click to expandAbstract | PDF file iconPDF (247 KB) | HTML iconHTML

    Quantitative financial analysis requires repeated computations of the same functions with the same arguments when prototyping trading strategies; many of these functions involve resource intensive operations on large matrices. Reducing the number of repeated computations either within a program or across runs of the same program would allow analysts to build and debug trading strategies more quick... View full abstract»

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  • A Portable and Fast Stochastic Volatility Model Calibration Using Multi and Many-Core Processors

    Publication Year: 2014, Page(s):23 - 28
    Request permission for reuse | Click to expandAbstract | PDF file iconPDF (417 KB) | HTML iconHTML

    Financial markets change precipitously and on-demand pricing and risk models must be constantly recalibrated to reduce risk. However, certain classes of models are computationally intensive to robustly calibrate to intraday pricesstochastic volatility models being an archetypal example due to the non-convexity of the objective function. In order to accelerate this procedure through parallel implem... View full abstract»

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  • On the Viability of Microservers for Financial Analytics

    Publication Year: 2014, Page(s):29 - 36
    Request permission for reuse | Click to expandAbstract | PDF file iconPDF (413 KB) | HTML iconHTML

    Energy consumption and total cost of ownership are daunting challenges for Datacenters, because they scale disproportionately with performance. Datacenters running financial analytics may incur extremely high operational costs in order to meet performance and latency requirements of their hosted applications. Recently, ARM-based microservers have emerged as a viable alternative to high-end servers... View full abstract»

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  • Exploring Irregular Time Series through Non-Uniform Fast Fourier Transform

    Publication Year: 2014, Page(s):37 - 44
    Request permission for reuse | Click to expandAbstract | PDF file iconPDF (3636 KB) | HTML iconHTML

    Most popular analysis tools on time series require the data to be taken at uniform time intervals. However, the realworld time series, such as those fromnancial markets, are typically taken at irregular time intervals. It is a common practice to resample or bin the irregular time series into a regular one, but there are significant limitations on this practice. For example, if one is to resample t... View full abstract»

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  • Many-core Programming with Asian Option Pricing

    Publication Year: 2014, Page(s):45 - 52
    Request permission for reuse | Click to expandAbstract | PDF file iconPDF (764 KB) | HTML iconHTML

    In this paper, we discuss the problem of pricing one exotic option, the strong path dependent Asian option using the Black-Scholes model and compare how the pricing algorithm can map into different many-core architectures and achieve equally impressive performance gains. In the end, we will show that a 2-year contract with 252 times steps and 1,000,000 samples can be priced in approximately one fi... View full abstract»

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  • STAC-A2 on Intel Architecture: From Scalar Code to Heterogeneous Application

    Publication Year: 2014, Page(s):53 - 60
    Request permission for reuse | Click to expandAbstract | PDF file iconPDF (1203 KB) | HTML iconHTML

    STAC-A2™ is compute and memory intensive industry benchmark in the field of market risk analysis. The benchmark specifications were created by the Securities Technology Analysis Center (aka STAC®) and are based on inputs collected from the leading trading companies, universities, and high performance computing vendors. The specifications describe the models which represent realistic market risk an... View full abstract»

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  • Author index

    Publication Year: 2014, Page(s): 61
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