HPCFinance Conference and Training Event (Tampere May 2013)

MONDAY 13.05.2013

Erik Vynckier (SWIP): Finance & Risk - Why HPC? - Why now? [Slides, Video]

Wayne Luk (Imperial College): Accelerating financial computation [Slides, Video]

Phillip Bull (Microsoft): HPC solutions in Finance on Windows [Slides, Video]

Craig Davies (Maxeler): Dataflow Computing for Finance [Slides, Video]

Fatima Araujo (Willis): Speeding up natural catastrophe and financial models with HPC [Slides, Video]

Mark Parsons (EPCC): Petascale to Exascale: the hardware and software challenge [Slides, Video]

Yuriy Guts (Eleks): Cloud Supercomputing - from 0 to 100 TFLOPS in one click [Slides, Video]


TUESDAY 14.05.2013

Terry Spitz (Citi): Optimising Risk Management [Slides, Video]

Ulrich Nögel (DEVnet): Post Crisis HPC for Finance [Slides, Video]

Rainer Wehkamp (Techila Technologies): Distributed Cloud Computing in Finance [Video]

Michael Dempster (CSA): Dynamic Stochastic Optimization with HPC [Slides, Video]

Peter M. Phillips (AonBenfield): Variable annuity semi-static hedging strategy testing with DSLs and GPUs [Slides, Video]

Thomas Weber (SciComp): Automatic GPU computing for derivative pricing models [Slides, Video]

Marc Vlitos (FINCAD): Scaling financial analytics from the desktop to the cloud [Slides, Video]


WEDNESDAY 15.05.2013

Zaid ait Haddou (University of Manchester): PDE solution for stochastic local volatility models [Slides, Video]

Thomas Gerstner (Goethe University Frankfurt): Parallel multi-level Monte Carlo simulation [Slides, Video]

Jose Antonio Garcia (University a Coruna): Efficient callibration of the dynamic SABR model using multi GPU [Slides, Video]

John Holden (NAG): NAG for finance engineering [Slides, Video]

Uwe Naumann (RWTH Aachen): Adjoint methods in computational finance [Slides, Video]

Grzegorz Kozikowski (University of Manchester): Interval arithmatic and automatic differentiation in optimisation [Slides, Video]

Alexandre Morali (Murex): American Monte Carlo for portfolio CVA and PFE [Slides, Video]

Georgios Dimitrakopoulos (University of Manchester): Least-Squares Monte Carlo vs. Stochastic on Stochastic for Variable Annuities and Exotic Options with BS/Heston-CIR [Video]