Electronic version of a book chapter published in High-Performance Computing in Finance: Problems, Methods, and Solutions, M.A.H. Dempster, J. Kanniainen, J. Keane, and E. Vynckier (Eds), Chapman and Hall/CRC, 2018. ISBN 9781482299663
24 Pages Posted: 5 Jun 2017 Last revised: 13 Mar 2019
Date Written: April 26, 2017
This is a preprint of the chapter "Supercomputers" in the forthcoming book "High-Performance Computing in Finance: Problems, Methods, and Solutions", M.A.H. Dempster, J. Kanniainen, J. Keane, and E. Vynckier (Eds), Chapman and Hall/CRC, London, 2017.
The chapter discusses the use of supercomputers for financial applications in academia and industry. It gives a brief overview on the history of supercomputing, its current landscape, and upcoming trends. Besides programming languages and parallelization interfaces for supercomputers, the advantages and disadvantages of the use of supercomputers are addressed. The chapter provides two case studies: (i) Pricing basket options using C and MPI and (ii) Optimizing life cycle investment decisions using MATLAB. For interested readers, it compiles references for further reading.
Keywords: Basket Options, Dynamic Portfolio Choice, Finance, High Performance Computing, Supercomputers
JEL Classification: C61, C63, D91, G11, G12, G13, J26
Suggested Citation: Suggested Citation