HPCFinance includes eight Work Packages (WPs). The first five WPs group the fourteen individual Research Projects (RPs) that host the twelve Early Stage Researchers (ESRs) and the two Experienced Researchers (ERs) of the HPCFinance network.

WP WP name RP RP name Lead Partner
1 Risk management, hybrid products and conditional stochastic pricing 1 A unified risk minimization framework AU
2 Real-time operation of financial risk models for hedging asset and liability exposure SWIP
3 Stochastic-on-Stochastic valuations and Solvency II internal balance sheet modeling SWIP
2 Strategic asset liability management 4 Variable Annuity ALM CSA
5 Individual Household Financial Planning in Europe CSA
3 Financial models and hedging volatility risk 6 Methods for modelling and calibrating to volatility surfaces for interest rates, equities, credit, and foreign exchange AU
7 Modelling and estimation of the price of volatility risk TUT
8 Financial models, volatility risk, and variable annuities TUT
4 Numerical methods in the pricing of contracts 9 Time-Consistent & Market-Consistent Actuarial Valuations MU
10 Numerical Solution of High-Dimensional BSDE’s MU
5 High Performance Computing Technologies in Finance 11 Selection and implementation of high-performance platforms in finance: The end-user’s point of view UNIMAN
12 Distributed computing in finance TECHILA
13 Efficient numerical methods on high-performance computing platforms for the underlying financial models TUT
14 Multivariate Modeling for Efficient Pricing and Hedging of Multi-asset Derivatives with HPC AU
6 Training

7 Management

8 Dissemination and Outreach


AU: Aarhus University; SWIP: Scottish Widows Investment Partnership; CSA: Cambridge Systems Associates; TUT: Tampere University of Technology; MU: Maastricht University; UNIMAN: The University of Manchester; TECHILA: Techila Technologies




For more information, contact Juho Kanniainen, juho.kanniainen (at)