High-Performance Computing in Finance: Problems, Methods, and Solutions

Intended for practitioners, researchers and graduate students in quantitative finance, computer science and related fields, this book serves as a handbook for design and implementation of financial models with relevant numerical methods on different HPC platforms in banks, insurance companies, pensions, asset-management companies and trading fir

Michael Dempster is Professor Emeritus, Centre for Financial Research, University of Cambridge. He has held research and teaching appointments at leading universities globally and is founding Editor-in-Chief of QuantitativeFinance. His numerous papers and books have won several awards and he is Honorary Fellow of the IFoA, Member of the Academia dei Lincei and Managing Director of Cambridge Systems Associates.

Juho Kanniainen is Professor of Financial Engineering at Tampere University of Technology, Finland. He has served as Coordinator of two international EU-programmes, HPC in Finance (www.hpcfinance.eu) and Big Data in Finance (www.bigdatafinance.eu). His research is broadly in quantitative finance focusing on computationally expensive problems and data-driven approaches.

John Keane is Professor of Data Engineering in the School of Computer Science at the University of Manchester, UK. As part of the UK Government’s Foresight Project, The Future of Computer Trading in Financial Markets, he co-authored a commissioned economic impact assessment review. He has been involved in both the EU HPC in Finance and Big Data in Finance programmes. His wider research interests are data and decision analytics, and related performance aspects.

Erik Vynckier is board member of Foresters Friendly Society, partner of InsurTech Venture Partners and Chief Investment Officer of Eli Global, following a career in banking, insurance, asset management and petrochemical industry. He co-founded EU initiatives on high performance computing and big data in finance. Erik graduated as MBA at London Business School and as chemical engineer at Universiteit Gent.