Publications and presentations

DELIVERABLES

DELIVERABLE 1.3 on project 1 (H. Jawaid, AU): "Report on Validation and Comparison of Developed and Implemented Risk Minimization Framework" [download]

DELIVERABLE 1.4 on project 2 (J. Yang, SWIP/AAM): "Report on Validation and Implementation of a Risk Monitor and Hedging with HPC" [download]

DELIVERABLE 1.5 on project 3 (G. Papamanousakis, SWIP): "Multi-level Stochastic Valuations" [download]

DELIVERABLE 2.3 on project 4 (P. Ustinov, CSA): Dempster, M.A.H., Medova, E.A., Osmolovskiy, I. & Ustinov*, P. (2015), "Developing a practical robust long term yield curve model" [download]

DELIVERABLE 2.4 on project 5 (I. Osmolovskiy, CSA): M A H Dempster, D. Kloppers, I. Osmolovskiy*, E. Medova and P. Ustinov (2015), "Life Cycle Goal Achievement or Portfolio Volatility Reduction?" [download]

DELIVERABLE 3.3 on project 6 (C. Pisani, AU): "Report on validation and implementation of developed modelling approaches" [download]

DELIVERABLE 3.4 on project 7 (Y. Yue, TUT): "Variance Risk Premium: Estimation, Term Structure and Equity Risk Premium Predictability" [download]

DELIBERABLE 3.5 on project 8 (H. Yang, TUT): "Option Pricing Performance of Different Option Pricing Models"

  • Cover letter [download]
  • Kanniainen, J., B. Lin and H. Yang (2014), "Estimating and Using GARCH Models with VIX Data for Option Valuation", Journal of Banking and Finance, 43, 200-211 [link]
  • Yang, H. and J. Kanniainen (2015), "Jump and Volatility Dynamics for the S&P500: Evidence for Infinite-Activity Jumps with Non-Affine Volatility Dynamics from Stock and Option Markets", SSRN working paper, to appear in Review of Finance  [link]

DELIVERABLE 4.3 on project 9 (S. Salahnejhad, Maastricht)

  • Salahnejhad, S. (2015), "Market-Consistent Valuation of Pension Liabilities" [download]
  • Pelsser, A. & Salahnejhad Ghalehjooghi, S. (2015), "Time-Consistent Actuarial Valuations" [download]

DELIVERABLE 4.4 on project 10 (K. K. Gnameho, Maastricht)

  • Gnameho, K.K., Stadje, M.A. & Pelsser, A. (2015), "Numerical Solution of Backward SDE’s: Regression Later Algorithm" [download]
  • Gnameho, K.K. & Pelsser, A. (2015), "Fourier-Hermite Expansion Algorithm for Backward SDE’s" [download]

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]

DELIVERABLE 5.4 on project 14 (A. Barletta, Aarhus University)

Barletta, A. (2016), "Multivariate Modeling for Efficient Pricing and Hedging of Multi-asset Derivatives with HPC" [download]

DELIVERABLE 5.5 on project 12 (B. Lin, Techila Techonologies)

  • Lin, B., Wehkamp, R. & Kannianen, J. (2015), "Practitioner's Guide on the Use of Cloud Computing in Finance" [download]

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]

DISSERTATIONS

PUBLICATIONS

  • Antar, E. & Dempster, M.A.H. (2016), “Risk measures and financial innovation with backward stochastic difference equations”, submitted. [download
  • Yang, H. and J. Kanniainen (2016), "Jump and Volatility Dynamics for the S&P500: Evidence for Infinite-Activity Jumps with Non-Affine Volatility Dynamics from Stock and Option Markets", forthcoming in the Review of Finance [link]
  • Pelsser, A. and Salahnejhad Ghalehjooghi, A. (2016), "Time-consistent actuarial valuations", Insurance: Mathematics and Economics, Vol. 66, pp. 97-112 [link]
  • Techila Technologies (2015), "Cloud HPC in Finance: Cloud Benchmark Report with Real-World Use-Cases" [link]
  • Dempster, M.A.H., Medova, E.A. & Yong, Y.S. (2016), “Stabilizing implementable decisions in dynamic stochastic programming”. In: Optimal Financial Decision Making Under Uncertainty, G Consigli, D Kuhn & P Brandimarte, eds. International Series in Operations Research and Management Science, New York: Springer Verlag, 2016. [download]
  • Dempster, M.A.H., Kloppers, D., Medova, E., Osmolovskiy, I. & Ustinov, P. (2016), “Life cycle goal achievement or portfolio volatility reduction?”. Journal of Portfolio Management, Vol. 42, No.2, pp. 99-117. [download]
  • Martino, L., H. Yang, D. Luengo, J. Kanniainen, J. Corander (2015), "A Fast Universal Self-tuned Sampler within Gibbs sampling", Digital Signal Processing, 47, 68-83 [link]
  • Dempster, M.A.H. & Tang, K., eds. (2015). Commodities, London: CRC Chapman and Hall.
  • Dempster, M.A.H. (2015), “Review of Bankers' New Clothes, What's Wrong with Banking and What to Do About It”, by Anat Amati and Martin Hellwig. Quantitative Finance, Vol. 15, No. 4, pp. 579-582. [download]
  • Bohnert, A., Gatzert, N. & Jørgensen, P.L. (2015), "On the management of life insurance company risk by strategic choice of product mix, investment strategy and surplus appropriation schemes", Insurance: Mathematics and Economics, Vol. 60, pp. 83-97. [download]
  • Dempster, M.A.H., Evans, J. & Medova, E.A. (2014), “Developing a practical yield curve model: An odyssey”. In: New Developments in Macro-Finance Yield Curves, J Chadha, A Durre, M Joyce & L Sarnio, eds., Cambridge University Press, pp. 251-290. [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]
  • Kanniainen, J., Lin, B. & Yang, H. (2014), "Estimating and using GARCH models with VIX data for option valuation", Journal of Banking and Finance, Vol. 43, pp. 200-211. [download]
  • 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]
  • Baldi, P. & Pisani, C. (2013) "Simple Simulation Schemes for CIR and Wishart Processes", International Journal of Theoretical and Applied Finance, Vol. 16, No, 8. [download]
  • Gatzert, N. & Jørgensen, P.L. (2013) "On Risk Charges and Shadow Account Options in Pension Funds", Scandinavian Actuarial Journal (HPCFinance keywords: Aarhus University, Pension contracts, Options, Guarantees, Valuation) [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]
  • Christos Delivorias, "Case Studies in Acceleration of Heston’s Stochastic Volatility Financial Engineering Model: GPU, Cloud and FPGA Implementations", Master's thesis, 2012, The University of Edinburgh (HPCFinance Keywords: Heston, GPU, Cloud, FPGA, SWIP, Techila, NAG, University of Edinburgh [download]

PRESENTATIONS

  • Papamanousakis, G.,"Using Machine Learning for Tactitical Asset Allocation Decisions", Global Derivatives, Trading and Risk Management, Budapest 9-13 May 2016.
  • Kozikowski, G., "HPC software using Automatic Differentiation and Multilevel Monte-Carlo methods for financial analytics", QuanTech conference, London 21-22 April 2016.
  • Papamanousakis, G., "Solvency II Capital Efficient Portfolios for Multi-Asset Investors", RiskMinds Insurance, Amsterdam 21-23 March 2016.
  • Gnameho, K.K., "Modeling Volatility Risk Premium" with prof. Juho Kanniainen & Ye Yue, Mathematical and Statistical Methods for Actuarial Science and Finance, Paris 30 March - 1 April 2016
  • Dempster, M.A.H., "Financial Innovation and Risk Measures with Backward Stochastic Difference Equations", Quantitative Finance Seminar, University of Kent, 23 March 2016.
  • Dempster, M.A.H., "Life Cycle Goal Achievement or Portfolio Volatility Reduction?", Incisive Media Unit-Linked Guaranteed Product Forum, London, 9-10 March 2016.
  • Dempster, M.A.H., "Life Cycle Goal Achievement or Portfolio Volatility Reduction?", Portfolio Institutional DC Investment Conference, London, 24 February 2016.
  • Erik Vynkier on Solvency II and EMIR
  • Jawaid, H. "Impact of Target Volatility Strategies on Variable Annuities", FRG Meeting, Aarhus University, Denmark, 3th November 2015.
  • Salahnejhad, A. "Market-consistent Actuarial Valuation: Application in Pension Valuation", Recent Advances in Actuarial Mathematics workshop, Casa Matemática Oaxaca, Mexico, 25-30 October 2015.
  • Papamanousakis, G. "Asset allocation and Optimization within a Multi Asset Income portfolio under Solvency II constrains", Infoline's Solvency II Buyside Asset Management Conference, London 23-24 September 2015.
  • Vynckier, E. at ISC: High Performance Computing in the Financial Industry: Problems, Methods & Solutions, July 14, 2015, Frankfurt, Germany [slides]
  • Nobody Likes Waiting [video]
  • Dempster, M.A.H., "Life Cycle Goal Achievement or Portfolio Volatility Reduction?", School of Finance, Faculty of Social Sciences, Tsinghua University, Beijing, China, 10-11 June 2015.
  • Gnameho, K.K, "A Numerical Solution of Backward SDEs", The 2015 AMMCS-CAIMS Congres, Waterloo Ontario, Canada 7-12 June 2015.
  • Dempster, M.A.H., "A Practical Robust Long Term Yield Curve Model", Computational Mathematics and Sciences International Conference, Xi'an Jiatong University, Xi'an, China, 6-8 June 2015.
  • Dempster, M.A.H., "A Practical Robust Long Term Yield Curve Model", Global Derivatives, Trading & Risk Management, Amsterdam 18-22 May 2015. [slides]
  • Lin, B. "From Molecular Gastronomy to Finance, Particle Methods and Applications to Finance", Inverse Problem Seminar, Helsinki, Finland, May 5th, 2015.
  • Salahnejhad, A. "Market-consistent Actuarial Valuation with Applications to Pension Contracts", Seminar on Investigating Advanced Actuarial Methods, Insurance Research Center (IRC), Tehran, Iran 14 April 2015.
  • 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]
  • Yang, J. “Potential Future Exposure and Collateral Modelling of the Trading Book Using NVIDIA GPUs” , GTC 2015 NVIDIA GPU Technology Conference, Silicon Valley, 19th March 2015.
  • Pisani, C. “Second order discretization schemes for Wishart processes and applications to option pricing” presentation during the annual meeting of “Premia”, Paris, 13th March 2015.
  • Dempster, M.A.H. “Designing and Managing Individual Guaranteed Financial Products”, Incisive Media Training Unit Linked Guaranteed Products, London, 11th March 2015.
  • Salahnejhad, A. "Market-Consistent Valuation with Application to Life Insurance Pricing", Actuarial Research Group, KU Leuven, Leuven, Belgium, 27 February 2015.
  • Gnameho, K.K. "Numerical Solution of Backward SDEs: Regression Later" Actuarial and Financial Mathematics Conference, Brussels, Belgium, 05-06 February 2015. [download]
  • Salahnejhad, A. "Time Consistent Actuarial Valuation" poster presentation, Actuarial and Financial Mathematics Conference, Brussels, Belgium, 05-06 February 2015.
  • Papamanousakis, G. "Case Study in Potential Future Exposure and Collateral Modelling", Alphascope 2015, Geneva, 2-5 February 2015.
  • Yang, J.; Guo, C.; Luk, W. & Nahar, T. “Collaborative Processing of Least-Square Monte Carlo for American Options”, International Conference on Field-Programmable Technology (2014), Shanghai, China, 10-12 December 2014.
  • Dempster, M.A.H. “Financial Innovation and Backward Stochastic Difference  Equations. Systemic Risk Workshop”, Isaac Newton Institute for Mathematical Sciences, Cambridge, 10 December 2014.
  • Pisani, C. "The Arbitrage-free Multivariate Mixture Dynamics Model", PhD day MathFinance students, Imperial College, London, December 8th 2014.
  • 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
  • Papamanousakis, G. "Potential Future Exposure and Collateral Modelling", 8th Annual Colleteral Management Conference, Amsterdam, 16-17- October 2014.
  • Papamanousakis, G. "Case Study in Potential Future Exposure", Fleming Europe Collateral Management, Amsterdam, 1-2 October 2014.
  • Lin, B. "Applications of Particle Simulation Methods in Finance", 4th workshop on estimation of models in asset and liability, , Malaga, Spain, October, 2014.
  • Yang, J.; Lin, B.; Luk, W. & Nahar, T. “Particle Filtering-based Maximum Likelihood Estimation for Financial Parameter Estimation”, 24th International Conference on Field Programmable Logicand Applications (FPL), Munich, Germany, 2-4 September 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.
  • Barletta, A. "Closed-form Pricing of VIX Options in the Double-Mean-Reverting Model", Aarhus FRG Conference, Sandbjerg, June 19th 2014.
  • Pisani, C. "OU Processes, Density Approximations and Volatility Derivatives", Aarhus FRG Conference, Sandbjerg, June 19th 2014.
  • Yang, J.; Lin, B.; Luk, W. & Nahar, T. “Parallel Implementation of Particle Filtering-based Maximum Likelihood Estimation of Jump Diffusion Model”, The 18th European Conference on Mathematics for Industry (ECMI), Taormina, Italy, 9-13 June 2014.
  • Barletta, A. "Laguerre Expansions for Volatility Derivatives", 8th World Congress of the Bachelier Finance Society, Brussels, June 2th-6th 2014.
  • Pisani, C. "The Impact of Jump Distributions on the Implied Volatility of Variance", 8th World Congress of the Bachelier Finance Society, Brussels, June 2th-6th 2014.
  • Pisani, C. "The Impact of Jump Distributions on the Implied Volatility of Variance", Rising Stars of Quantitative Finance-Global Derivatives, Amsterdam, May 14th 2014.
  • Dempster, M.A.H. “Dynamic Stochastic Programming Tools for Individual Asset  Liability Management”, MathFinance Conference 2014, 14 April 2014. [download]
  • Vynckier, E. "High Performance Computing in Finance. Why HPC? Why now?" EMiT - Emerging Technology Conference 2014, Manchester, April 11th 2014. [download]
  • Jawaid, H. "GLWB Valuation and Risk Management", Napier 400, Edinburgh, UK, April 4th 2014.
  • Jawaid, H. "Valuation of Variable Annuities with Guaranteed Lifetime Withdrawal Benefits", Brown Bag Seminar at Aarhus University, Aarhus, Denmark, April 1st 2014.
  • Medova, E. “Individual Asset Liability Management and Stochastic Optimization”. Computation in Finance and Insurance, post-Napier, Royal Society of Edinburgh, 3 April 2014. [download]
  • Dempster, M.A.H. “Risk Management for Financial Products With Guarantees”, Incisive Media Training Variable Annuities, London, 19th March 2014.
  • Papamanousakis, G. "PFE, Liquidity Constraints on the Balance Sheet and Derivatives Hedging", Solvency II Buy-Side Asset Management and Reporting Implications London, 27-28 January 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.
  • Barletta, A. "Laguerre Expansions for Volatility Derivatives", QMF Conference, Sydney, Australia, 17th-20th December 2013.
  • Pisani, C. "A Simple Simulation Procedure for CIR and Wishart Processes", QMF Conference, Sydney, Australia, 17th-20th December, 2013.
  • Jawaid, H. "Variable Annuities and Risk Management", Summer School: Numerical and quantitative methods in finance, Maastricht, Netherlands, 27 August 2013,
  • Gnameho, K.K. "Numerical Solution of BSDE’s" Summer School: Numerical and quantitative methods in finance, Maastricht, Netherlands, 27 August 2013.
  • Kozikowski, G., "Interval Arithmetic and Automatic Differentiation in Least Squares Regression", Automatic Differentiation Workshop, Sophia Antipolis, 10-11 June 2013
  • Pisani, C. "Jump Modeling for Realized Variance Options", Aarhus FRG Conference, Sandbjerg, June 20th 2013.
  • Pisani, C. “Simple simulation schemes for CIR and Wishart processes”, poster presentation, Frontiers in Financial Mathematics 2013, Dublin, June 2013.
  • Papamanousakis, G. "Economic Capital Fundamentals", 4th Annual Conference of the Society for Industrial and Applied Mathematics (SIAM), University of Edinburgh, March 2013.
  • Papamanousakis, G. "Economic Capital Fundamentals", Introduction to Risk Management, ALM and Derivative Pricing, Aarhus University, 21-25 January 2013.