書籍詳細

書籍詳細




洋書

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

(Chapman & Hall/crc Financial Mathematics)

Dempster, M. A. H. (EDT)   Kanniainen, Juho (EDT)   Keane, John (EDT)

Chapman & Hall 2018/03
614 p. illustrations ; 24 cm   
装丁: Hrd    装丁について
テキストの言語: ENG    出版国: GB
ISBN: 9781482299663
KCN: 1023002687
紀伊國屋書店 選定タイトル
標準価格:¥30,464(本体 ¥27,695)   
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納期について
DDC: 332.015118
KDC: E210 金融理論
F181 金融数理・金融工学
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Full Description

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.

Table of Contents

Part I: Computationally Expensive Problems in the Financial Industry 1. Computationally Expensive Problems in Investment Banking [Jonathan Rosen, Christian Kahl, Russell Goyder, and Mark Gibbs] 2. Using Market Sentiment to Enhance Second-Order Stochastic Dominance Trading Models [Gautam Mitra, Christina Erlwein-Sayer, Cristiano Arbex Valle, and Xiang Yu] 3. The Alpha Engine: Designing an Automated Trading Algorithm [Anton Golub, James B. Glattfelder, and Richard B. Olsen] 4. Portfolio Liquidation and Ambiguity Aversion [Alvaro Cartea, Ryan Donnelly, and Sebastian Jaimungal] 5. Challenges in Scenario Generation: Modeling Market and Non-Market Risks in Insurance [Douglas McLean] Part II: Numerical Methods in Financial High-Performance Computing (HPC) 6. Finite Difference Methods for Medium- and High-Dimensional Derivative Pricing PDEs [C. Reisinger and R. Wissmann] 7. Multilevel Monte Carlo Methods for Applications in Finance [Michael B. Giles and Lukasz Szpruch] 8. Fourier and Wavelet Option Pricing Methods [Stefanus C. Maree, Luis Ortiz-Gracia, and Cornelis W. Oosterlee] 9. A Practical Robust Long-Term Yield Curve Model [M. A. H. Dempster, Elena A. Medova, Igor Osmolovskiy, and Philipp Ustinov] 10. Algorithmic Differentiation [Uwe Naumann, Jonathan Huser, Jens Deussen, and Jacques du Toit] 11. Case Studies of Real-Time Risk Management via Adjoint Algorithmic Differentiation (AAD) [Luca Capriotti and Jacky Lee] 12. Tackling Reinsurance Contract Optimization by Means of Evolutionary Algorithms and HPC [Omar Andres Carmona Cortes and Andrew Rau-Chaplin] 13. Evaluating Blockchain Implementation of Clearing and Settlement at the IATA Clearing House [Sergey Ivliev, Yulia Mizgireva, and Juan Ivan Martin] Part III: HPC Systems: Hardware, Software, and Data with Financial Applications 14. Supercomputers [Peter Schober] 15. Multiscale Dataflow Computing in Finance [Oskar Mencer, Brian Boucher, Gary Robinson, Jon Gregory, and Georgi Gaydadjiev] 16. Manycore Parallel Computation [John Ashley and Mark Joshi] 17. Practitioner's Guide on the Use of Cloud Computing in Finance [Binghuan Lin, Rainer Wehkamp, and Juho Kanniainen] 18. Blockchains and Distributed Ledgers in Retrospective and Perspective [Alexander Lipton] 19. Optimal Feature Selection Using a Quantum Annealer [Andrew Milne, Max Rounds, and Phil Goddard]