HPCFINANCE

Training in Modern Quantitative Methods and High-Performance Computing for Finance

 Partecipanti

Mappa

 Word cloud

Esplora la "nuvola delle parole (Word Cloud) per avere un'idea di massima del progetto.

 Obiettivo del progetto (Objective)

'HPCFinance, a 4-year multi-site Marie Curie Initial Training Network in modern quantitative methods and High-Performance Computing for Finance, provides solutions to managing financial risks by high-performance computing. HPCFinance will help improve the financial strength of banks, pension funds, insurance companies, other financial institutions and households in Europe. The main goal of the network is to enhance the career development of 12 early-stage researchers and 2 experienced ones in finance-related sectors.

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.

HPCFinance consists of 7 universities and 8 companies, representing investment and insurance companies, banks, consultants, and high-performance computing solution providers. The network’s US partners provide invaluable experience for benchmarking and knowledge transfer into Europe. This world-class network provides training 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. To bridge research and practice, all researchers contribute to the private sector via secondments. 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.'

Introduzione (Teaser)

More than ever before, European business and research communities are pressed to deliver solutions for significant, large-scale financial practices. An EU initiative is combining the use of supercomputers with financial models to address risk management.

Descrizione progetto (Article)

The current European economic landscape is leading economists and academic researchers to devise and put into practice more reliable and optimised quantitative tools and approaches to managing risks.

High-performance computing (HPC) is increasingly being used to solve big problems in business and finance. At the same time, an increase in the accuracy, reliability and frequency of financial analytics is driving financial institutions towards HPC. As a result, the need for financial experts with HPC skills has never been greater.

With EU funding, the 'Training in modern quantitative methods and high-performance computing for finance' (http://www.hpcfinance.eu/ (HPCFINANCE)) project aims to develop and implement state-of-the-art techniques for derivative pricing and risk management through secondments.

To achieve this, the project is bringing together a multidisciplinary network of researchers. Through training events and research activities, 14 fellows are using HPC to work on practical and effective financial models. The focus of the research is on risk management, strategic asset liability management, financial models and volatility risk, numerical methods in contract pricing and HPC technologies in finance. Journal papers and a series of events have been produced supporting project findings.

By benefiting from and developing financial modelling through HPC, the fellows will be able to build a solid foundation for dealing with the future demands of the financial sector and for carrying out more robust risk management.

HPCFINANCE is fusing financial engineering with supercomputing infrastructure to make the regulatory and capital environment in the financial services industry less demanding and complex. Europe's finances stand to benefit, as will its financial institutions and their clients.