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: aleksandar.rakicevic@fon.bg.ac.rs

CONTACT INFO:

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