Supercomputers

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

See all articles by Peter Schober

Peter Schober

Goethe University Frankfurt - Department of Finance

Date Written: April 26, 2017

Abstract

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

Schober, Peter, Supercomputers (April 26, 2017). 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, Available at SSRN: https://ssrn.com/abstract=2960130

Peter Schober (Contact Author)

Goethe University Frankfurt - Department of Finance ( email )

House of Finance
Theodor-W.-Adorno Platz 3
Frankfurt am Main, Hessen 60323
Germany

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