Maxeler applications in financial engineering ALEKSANDAR RAKIEVI Ph
- Slides: 7
Maxeler applications in financial engineering ALEKSANDAR RAKIĆEVIĆ Ph. D student prof. BRATISLAV PETROVIĆ Menthor University of Belgrade Faculty of Organizational Sciences (FON)
MAXELER FINANCIAL APPLICATIONS • Interest rate curve fitting • Pricing/valuation • Model calibration • Scenario analysis • Risk analysis • Portfolio optimization • High frequency trading 2/7
THESE PROBLEMS ARE COMPUTATIONALLY EXPENSIVE • Some intensive calculations: – expected values for trees based models with thousands of steps – correlation and covariance matrices for thousands of assets – multi variate Monte Carlo simulations with multiple payoffs – runing models for high frequency trading 3/7
Pricing CDOs 4/7
Risk analysis using Monte Carlo simulation 5/7
WHAT ARE THE EFFECTS OF MAXELER APPLICATIONS • Example: Acceleration of complex credit derivatives calculations at JP Morgan Code transformation: Speedup: Power usage: 898 → 3696 (growth factor 4) 220 x (overnight → several min) - 6% • American Finance Technology Award (2011) 6/7
CONTACT INFO: SYSTEM THEORY AND CONTROL LABORATORY Faculty of organizational sciences, Belgrade University Research area: – Modeling and control, – Optimization, – Computational inteligence, – Machine learning. Application domains: Finance and management. ALEKSANDAR RAKIĆEVIĆ E-mail: aleksandar. rakicevic@fon. bg. ac. rs 7/7
