Research Project 13

RP13. Efficient numerical methods on high-performance computing platforms for the underlying financial models. (Jun Hu)

Leading Partner: TUT. Supervisor: Prof. Juho Kanniainen

This ITN project utilises HPC in practice and research in realistic settings without restrictions to closed-form solutions. First, this RP investigates the use of numerical methods on HPC platforms and improves the computational performance of methods developed and used in the other RPs. Therefore, this RP assists the RPs that will all use numerical methods. On the other hand, the RP depends on RP 11, which consider different HPC technologies and RP 12, which promotes the use of distributed computing in finance. Second, the project considers Monte Carlo methods and numerical methods for partial differential equations, and applies them on HPC platforms. In addition, the RP investigates optimisation algorithms for the calibration of financial models using HPC.

Results

Deliverables

DELIVERABLE 5.6 on project 13 (J. Hu, TUT)

  • Cover letter [download]
  • Hu, J. and J. Kanniainen (2015), "Asymptotic expansion of European options with mean-reverting stochastic volatility dynamics", Finance Research Letters, 14, 1-10 [link]
  • Hu, J. (2015), "Limit order book models and market phenomenology" [download]

 

Publications

  • Hu, J. and J. Kanniainen (2015), "Asymptotic expansion of European options with mean-reverting stochastic volatility dynamics", Finance Research Letters, 14, 1-10 [link]

Final conference

Jun Hu (Tampere University of Technology): Efficient numerical methods on high-performance computing platforms for the underlying financial models