Application of HPC to medium-size stochastic systems with non-linear constraints in finance

Hodgson, Graham; Dzwig, Peter; Liddell, Heather M.; Parkinson, D.

doi:10.1007/bfb0037168

Cited by 2 publications

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“…In our research we investigated the numerical determination of portfolios with non-stochastic constraints combined with non-deterministic inputs, and also considered the stability of the resulting portfolios in a model which has been developed by the author and her co-workers. This required the application of parallel computing [9,10].…”

Section: Application Of Parallel and Distributed Computing To Portfolmentioning

confidence: 99%

“…Generating these Wiener processes forms the first stage of a four stage process for each market, and may be summarised as follows: Stage 1 For each simulation, generate a Wiener process for each market scenario. Stage 2 Solve the resulting optimisation problem at points on the "efficient frontier" [9] for each simulation portfolio) and apply Principal Component Analysis to the simulation portfolios. Stage 3 For those points on the efficient frontier, calculate an averaged portfolio over all the simulations (we call this the 'mean' portfolio).…”

Section: Outline Of the Problemmentioning

confidence: 99%

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Parallel Computing Applications and Financial Modelling

Liddell

Parkinson

Hodgson

et al. 2004

Scientific Programming

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At Queen Mary, University of London, we have over twenty years of experience in Parallel Computing Applications, mostly on "massively parallel systems", such as the Distributed Array Processors (DAPs). The applications in which we were involved included design of numerical subroutine libraries, Finite Element software, graphics tools, the physics of organic materials, medical imaging, computer vision and more recently, Financial modelling. Two of the projects related to the latter are described in this paper, namely Portfolio Optimisation and Financial Risk Assessment.

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Section: Application Of Parallel and Distributed Computing To Portfolmentioning

confidence: 99%

Section: Outline Of the Problemmentioning

confidence: 99%