Maxeler applications in financial engineering ALEKSANDAR RAKIĆEVIĆprof. BRATISLAV PETROVIĆ PhD studentMenthor University of Belgrade Faculty of Organizational.

Maxeler applications in financial engineering

ALEKSANDAR RAKIĆEVIĆ prof. BRATISLAV PETROVIĆ

PhD student Menthor

University of Belgrade

Faculty of Organizational Sciences (FON)

MAXELER FINANCIAL APPLICATIONS

• Interest rate curve fitting

• Pricing/valuation

• Model calibration

• Scenario analysis

• Risk analysis

• Portfolio optimization

• High frequency trading

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THESE PROBLEMS ARE COMPUTATIONALLY EXPENSIVE

• Some intensive calculations:

– expected values for trees based models

with thousands of steps

– correlation and covariance matrices

for thousands of assets

– multi variate Monte Carlo simulations

with multiple payoffs

– runing models for high frequency trading

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Pricing CDOs

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Risk analysis using Monte Carlo simulation

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WHAT ARE THE EFFECTS OF MAXELER APPLICATIONS

• Example: Acceleration of complex credit derivatives calculations at JP Morgan

Code transformation: 898 → 3696 (growth factor 4)

Speedup: 220x (overnight → several min)

Power usage: - 6%

• American Finance Technology Award (2011)

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SYSTEM THEORY AND CONTROL LABORATORYFaculty of organizational sciences, Belgrade University

Research area: – Modeling and control, – Optimization,– Computational inteligence, – Machine learning.

Application domains: Finance and management.

ALEKSANDAR RAKIĆEVIĆE-mail: [email protected]

CONTACT INFO:

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