Talks: Certified and High-performance Computing for Finance IT
Towards Fully Certified Financial Software - from portfolios of financial contracts to efficient derivative pricing and risk calculation
Program
15.30-16.00 Coffee and registration
16.00-16.15 Welcome
by Professor Fritz Henglein, DIKU and Senior Consultant Anders Pall Skött, CFIR and Innovation Network for Finance IT
16.10-16.40 Towards a prototype for high-performance contract valuation and portfolio risk management
by Martin Elsman, Associate Professor, DIKU and Head of the HIPERFIT Research Center.
- The HIPERFIT Research Center - a project overview.
- A Prototype for Parallel Portfolio Pricing and Risk Calculation with focus on Over-the-Counter (OTC) Financial Instruments. A report on a joined HIPERFIT project.
17.00-17.10 Coffee break
17.10-17.30 Talk by Cosmin Oancea, DIKU/HIPERFIT
Parallelization of pricing code, and a perspective on current research to construct a compiler from a high-level functional language into code that executes in parallel on, for instance, graphics processing units.
17.30-18.00 Q&A and debate
18.00-18.30 Network and tapas
A HIPERFIT - a financial IT Theme meeting in DIKU Business Club.
The Innovation Network for Finance IT, CFIR and DIKU Business Club invite you to a session on “Towards Fully Certified Financial Software - from portfolios of financial contracts to efficient derivative pricing and risk calculation” with presentations from the HIPERFIT Research Center.
The session is part of the sessions in computational finance in the CFIR / Innovation Network for Finance IT and a club meeting in DIKU business club. The session is open to members of CFIR and DIKU Business Club. The target group is students, researchers and
practitionerswithin mathematical finance, programming languages, high-performance systems, and application experts from the financial sector.
At this event the HIPERFIT Research center will present
- research in systems for specifying and managing financial contracts, bi-lateral or multi-lateral agreements between financial institutions
- state-of-the-art Monte-Carlo-based parallel pricing engine, which executes parallel pricing code for financial contracts and portfolios on GPGPUs
- a newly crafted prototype for contract management and pricing
We will give a demonstration of the prototype, describe its key components, illustrate how the components are integrated, and highlight how the architecture of the prototype is open towards integration of additional features. In this light, we provide suggestions for future projects (ranging from BSc student projects to advanced PhD projects and mini projects together with companies in the Innovation Network for Finance IT) 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 presentation reports on research conducted in the HIPERFIT Research Center, hosted at University of Copenhagen. The center gathers research in different communities: Mathematical finance, programming languages, high-performance systems, and application experts from the financial sector.
Practical information:
Admission is Free for CFIR core members and members of DIKU Business Club
If you are not a member and want to attend please contact Anders Pall Skött, CFIR aps@cfir.dk, +45 3370 1107 or Heidi Pagaard Andersen heidi.pa@di.ku.dk, +45 4018 5695.
Registration: Please send an e-mail to heidi.pa@di.ku.dk if you would like to attend.
For more information on the sessions in Computational Finance please contact Anders Pall Skött, CFIR aps@cfir.dk, +45 3370 1107
Bio:
Martin Elsman is Associate Professor at Department of Computer Science, University of Copenhagen (DIKU), where he serves as manager for the HIPERFIT Research Center. Before joining DIKU, Martin spent four years in SimCorp developing software, using functional programming techniques, for specifying and managing financial contracts. Before his time at SimCorp, Martin was Associate Professor at the IT University of Copenhagen, where he conducted research in compilation techniques for functional languages, in particular with focus on module systems, Web technology, program analyses for memory management, and program optimisation. Martin is the co-developer of a number of systems and tools. For more information, see http://elsman.com. The presentation reports on research conducted in the HIPERFIT Research Center, hosted at University of Copenhagen. The center gathers research in different communities: Mathematical finance, programming languages, high-performance systems, and application experts from the financial sector. For more information about the center, please consult its home page at http://hiperfit.dk and relevant publications at http://hiperfit.dk/publications.html
Cosmin Oancea is Assistant Professor in the Department of Computer Science, University of Copenhagen (DIKU). He received his PhD in Computer Science from The University of Western Ontario, Canada, where he has studied with Stephen Watt topics related to programming language interoperability and computer algebra.
Prior to joining the University of Copenhagen, he was a researcher at Cambridge University and Texas A&M University. At Cambridge, Cosmin collaborated with Alan Mycroft on topics related to thread-level speculation and parallel algorithms. At Texas A&M, he worked with Lawrence Rauchwerger on "hybrid analysis", i.e., static + dynamic techniques for automatic parallelization of Fortran loops. Currently, Cosmin studies how language design, e.g., high-level invariants exposed by a pure-functional language, and hybrid (compiler analysis) can be combined in a pragmatic and effective way to extract and optimize application-level parallelism.
The talk is a co-sponsored event from DIKU Business Club, CFIR and HIPERFIT.