Research

Currently, while recovering from the financial crisis, the European financial world and academic researchers are facing major challenges to create and apply more reliable quantitative models and methods to manage risks. Simultaneously, computationally challenging new hybrid products combining traditional financial investments with insurance policies are gaining popularity. Consequently, demand for experts in finance with superior computing skills is growing rapidly. This network provides research in robust financial models and numerical methods on high-performance computing platforms with emphasis on variable annuities and asset and liability management. The intended research is not only academically but also practically relevant as the program is built around real life challenges identified together by the academic and private sector partners.

HPCFinance stands at the fertile crossroads Financial Engineering and High Performance Computing. Most of the main tasks will be performed with superior computing power and the implementation and testing of technologies and test cases can only be done in a real environment in financial companies. The project will develop and integrate the most realistic and effective volatility and interest rate models for successful risk management and pricing of complex hybrid derivatives on different HPC platforms. The availability of substantial computing resources allows the project to use and develop theories and methods more flexibly, and to relax unrealistic assumptions so far applied to reduce the computation burden. The project has three interconnected areas: methodologies and modeling; quantitative risk management and derivative pricing (fixed, index-linked and variable annuities and ALM, including counterparty risk management); and HPC engineering. The multidisciplinary program consists of modular work streams in these fields, helping the industry to apply the newest ideas and the most up-to-date methods.

The project will contribute to maintaining the financial strength of banks, pension funds, insurance companies, and other financial institutions in the European financial industry, enforcing a sound risk management under a sound regulatory and capital framework, and also that of households by exploiting and developing financial modelling via modern high-performance techniques. The results will be of vital importance also for HPC providers. The major societal impacts of HPCFinance are to provide the European finance community with specialists with state-of-the-art skills in computational finance and to ease the adoption of reliable models in the industry.

 

 

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