The HIPERFIT Prototype for Contract and Portfolio Management and Pricing

Talk by Danil Annenkov and Martin Elsman (DIKU)

In this talk, we present a newly crafted prototype of a pricing GUI and framework for integrating a certified portfolio and contract management engine with a state-of-the-art Monte-Carlo-based parallel pricing engine. We will give a demonstration of the prototype, describe its key components, an illustrate how they are integrated. We also provide suggestions for future projects (ranging from BSc students projects to advanced PhD projects) with the goal of extending the prototype in a number of different ways. The prototype is a Web-based system with an architecture that allows for GPGPU kernel code to be executed on servers equipped with graphics cards. The prototype glue and Web-system is written in Haskell.

Martin Elsman is Associate Professor and Manager for the HIPERFIT Research Center at the University of Copenhagen. Danil Annenkov is PhD student at the Department of Computer Science, University of Copenhagen.