Research Project 11

RP11. Selection and implementation of high-performance platforms in finance: The end-user’s point of view (Grzesiek Kozikowski)

Leading Partner: UNIMAN. Supervisors: Prof. Ser-Huang Poon

This RP considers the advantages and disadvantages of competing HPC technologies. The RP is hosted by UNIMAN in a very close collaboration with SWIP. The project focuses on the identification of technologies on the market and technology partners, with a specific intent of cross-fertilising financial practice with best practices from other industries (oil&gas, climate modelling, medical imaging); selection and formulation of test-cases for HPC in finance (in conjunction with RP2 and RP3), including identification of comparative metrics; and implementation of test cases from RP2 and RP3 on cloud, grid, GPU and FPGA and comparison of these technologies in practice.

Results

Deliverables

DELIVERABLE 5.3 on project 11 (G. Kozikowski, UNIMAN)

Kozikowski, G. (2016), "Selection and implementation of high-performance platforms in finance: The end-user's point of view" [download]

Publications

  • Kozikowski, G., Papamanousakis, G., Yang, J. (2015), "Potential future exposure, modelling and accelerating on GPI and FPGA", WHPCF'15 Proceedings of the 8th Workshop on High Perfomance Computational Finance [link]
  • Kozikowski, G. & Kubica, B. (2014), "Parallel Approach to Monte Carlo Simulation for Option Price Sensitivities Using the Adjoint and Interval Analysis", Parallel Processing and Applied Mathematics, Lecture Notes in Computer Science, pp. 600-612. [download]
  • Kozikowski, G. & Kubica, B. (2013), "Interval Arithmetic and Automatic Differentiation on GPU Using OpenCL", Applied Parallel and Scientific Computing, Lecture Notes in Computer Science, Vol. 7782, pp. 489-503. [download]

Presentations

  • Kozikowski, G., "HPC software using Automatic Differentiation and Multilevel Monte-Carlo methods for financial analytics", QuanTech conference, London 21-22 April 2016.
  • Papamanousakis, G.; Yang, J. & Kozikowski, G. "Potential Future Exposure and Collateral Modelling of the Trading Book Using NVIDIA GPUs", GPU Technology Conference 2015, Silicon Valley, 19th March 2015 [slides], [video]
  • Kozikowski, G., "Towards Real-Time Risk Management on FPGA cards. Evaluation of Risk Sensitivities for the Black-Scholes, Heston and LIBOR Market Model using Maxeler technology", GPU Seminar at University of Manchester, 25 November 2014
  • Kozikowski, G., "Evaluating the Greeks for the LIBOR Market Model using the Pathwise Adjoint on GPU", Automatic Differentiation Workshop, Sophia Atnipolis, 16-17 June 2014.
  • Kozikowski, G., "Parallel approach to Monte Carlo simulation for Option Price Sensitivities using the Adjoint and Interval Anaylysis on CUDA", International Conference on Parallel rocessing and Applied Mathematics, Warsaw, 8-11 September 2013.
  • Kozikowski, G., "Interval Arithmetic and Automatic Differentiation in Least Squares Regression", Automatic Differentiation Workshop, Sophia Antipolis, 10-11 June 2013

Final conference

Grzesiek Kozikowski (The University of Manchester): Selection and implementation of high-performance platforms in finance: The end-user’s point of view