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.

part I|171 pages

Computationally Expensive Problems in the Financial Industry

chapter 1|22 pages

Computationally Expensive Problems in Investment Banking

ByJonathan Rosen, Christian Kahl, Russell Goyder, Mark Gibbs

chapter 2|24 pages

Using Market Sentiment to Enhance Second-Order Stochastic Dominance Trading Models

ByGautam Mitra, Christina Erlwein-Sayer, Cristiano Arbex Valle, Xiang Yu

chapter 3|28 pages

The Alpha Engine: Designing an Automated Trading Algorithm

ByAnton Golub, James B. Glattfelder, Richard B. Olsen

chapter 4|38 pages

Portfolio Liquidation and Ambiguity Aversion

ByÁlvaro Cartea, Ryan Donnelly, Sebastian Jaimungal

part II|237 pages

Numerical Methods in Financial High-Performance Computing (HPC)

chapter 6|21 pages

Finite Difference Methods for Medium- and High-Dimensional Derivative Pricing PDEs

ByChristoph Reisinger, Rasmus Wissmann

chapter 7|51 pages

Multilevel Monte Carlo Methods for Applications in Finance *

ByMichael B. Giles, Lukasz Szpruch

chapter 8|24 pages

Fourier and Wavelet Option Pricing Methods

ByStefanus C. Maree, Luis Ortiz-Gracia, Cornelis W. Oosterlee

chapter 9|42 pages

A Practical Robust Long-Term Yield Curve Model

ByM. A. H. Dempster, Elena A. Medova, Igor Osmolovskiy, Philipp Ustinov

chapter 10|23 pages

Algorithmic Differentiation

ByUwe Naumann, Jonathan Hüser, Jens Deussen, Jacques du Toit

chapter 12|20 pages

Tackling Reinsurance Contract Optimization by Means of Evolutionary Algorithms and HPC

ByOmar Andres Carmona Cortes, Andrew Rau-Chaplin

chapter 13|19 pages

Evaluating Blockchain Implementation of Clearing and Settlement at the IATA Clearing House

BySergey Ivliev, Yulia Mizgireva, Juan Ivan Martin

part III|178 pages

HPC Systems: Hardware, Software, and Data with Financial Applications

chapter 14|26 pages


ByPeter Schober

chapter 15|30 pages

Multiscale Dataflow Computing in Finance

ByOskar Mencer, Brian Boucher, Gary Robinson, Jon Gregory, Georgi Gaydadjiev

chapter 16|37 pages

Manycore Parallel Computation

ByJohn Ashley, Mark Joshi

chapter 17|28 pages

Practitioner's Guide on the Use of Cloud Computing in Finance

ByBinghuan Lin, Rainer Wehkamp, Juho Kanniainen

chapter 18|24 pages

Blockchains and Distributed Ledgers in Retrospective and Perspective

ByAlexander Lipton

chapter 19|28 pages

Optimal Feature Selection Using a Quantum Annealer

ByAndrew Milne, Max Rounds, Phil Goddard