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WHPCF@SC
2011
2015
2011
2015
Keyphrases
Publications
2015
Gili Rosenberg
,
Poya Haghnegahdar
,
Phil Goddard
,
Peter Carr
,
Kesheng Wu
,
Marcos López de Prado
Solving the optimal trading trajectory problem using a quantum annealer.
WHPCF@SC
(2015)
Proceedings of the 8th Workshop on High Performance Computational Finance, WHPCF 2015, Austin, Texas, USA, November 15, 2015
WHPCF@SC
(2015)
Bishop Brock
,
Frank Liu
,
Karthick Rajamani
STAC-A2™ benchmark on POWER8.
WHPCF@SC
(2015)
Guojing Cong
,
Sophia Wen
,
James Sedgwick
,
Louis Ly
Parallelism-centric optimization and performance study of a finance aggregation engine on modern NUMA systems.
WHPCF@SC
(2015)
Simon Suo
,
Ruiming Zhu
,
Ryan Attridge
,
Justin W. L. Wan
GPU option pricing.
WHPCF@SC
(2015)
Grzegorz Kozikowski
,
Grigorios Papamanousakis
,
Jinzhe Yang
Potential future exposure, modelling and accelerating on GPU and FPGA.
WHPCF@SC
(2015)
Javier Alejandro Varela
,
Claus Kestel
,
Christian de Schryver
,
Norbert Wehn
,
Sascha Desmettre
,
Ralf Korn
Optimization strategies for portable code for Monte Carlo-based value-at-risk systems.
WHPCF@SC
(2015)
Matthew Dixon
,
Diego Klabjan
,
Jin Hoon Bang
Implementing deep neural networks for financial market prediction on the Intel Xeon Phi.
WHPCF@SC
(2015)
Mark Tucker
,
J. Mark Bull
Fulfilling solvency II regulations using high performance computing.
WHPCF@SC
(2015)
2014
Mike B. Giles
,
Endre László
,
István Z. Reguly
,
Jeremy Appleyard
,
Julien Demouth
GPU implementation of finite difference solvers.
WHPCF@SC
(2014)
Matthew Dixon
,
Jörg Lotze
,
Mohammad Zubair
A portable and fast stochastic volatility model calibration using multi and many-core processors.
WHPCF@SC
(2014)
Jung Heon Song
,
Marcos López de Prado
,
Horst D. Simon
,
Kesheng Wu
Exploring irregular time series through non-uniform fast Fourier transform.
WHPCF@SC
(2014)
Alexander Moreno
,
Tucker Balch
Speeding up large-scale financial recomputation with memoization.
WHPCF@SC
(2014)
Christian Brugger
,
Gongda Liu
,
Christian de Schryver
,
Norbert Wehn
A systematic methodology for analyzing closed-form Heston pricer regarding their accuracy and runtime.
WHPCF@SC
(2014)
Charles J. Gillan
,
Dimitrios S. Nikolopoulos
,
Giorgis Georgakoudis
,
Richard Faloon
,
George Tzenakis
,
Ivor T. A. Spence
On the viability of microservers for financial analytics.
WHPCF@SC
(2014)
Shuo Li
,
James Lin
Many-core programming with Asian option pricing.
WHPCF@SC
(2014)
Proceedings of the 7th Workshop on High Performance Computational Finance, WHPCF '14, New Orleans, Louisiana, USA, November 16-21, 2014
WHPCF@SC
(2014)
Evgeny Fiksman
,
Sania Salahuddin
STAC-A2 on intel architecture: from scalar code to heterogeneous application.
WHPCF@SC
(2014)
2013
Amy Wang
,
Jan Treibig
,
Bob Blainey
,
Peng Wu
,
Yaoqing Gao
,
Barnaby Dalton
,
Danny Gupta
,
Fahham Khan
,
Neil Bartlett
,
Lior Velichover
,
James Sedgwick
,
Louis Ly
Optimizing IBM algorithmics' mark-to-future aggregation engine for real-time counterparty credit risk scoring.
WHPCF@SC
(2013)
Matthew Dixon
,
Mohammad Zubair
Calibration of stochastic volatility models on a multi-core CPU cluster.
WHPCF@SC
(2013)
Blesson Varghese
,
Andrew Rau-Chaplin
Accounting for secondary uncertainty: efficient computation of portfolio risk measures on multi and many core architectures.
WHPCF@SC
(2013)
Massimiliano Fatica
,
Everett H. Phillips
Pricing American options with least squares Monte Carlo on GPUs.
WHPCF@SC
(2013)
Fábio Daros Freitas
,
Christian Daros Freitas
,
Alberto Ferreira de Souza
System architecture for on-line optimization of automated trading strategies.
WHPCF@SC
(2013)
Proceedings of WHPCF'13: 6th Workshop on High Performance Computational Finance, co-located with SC13, Denver, CO, USA, November 17-22, 2013
WHPCF@SC
(2013)
Alexander Heinecke
,
Jacob Jepsen
,
Hans-Joachim Bungartz
Many-core architectures boost the pricing of basket options on adaptive sparse grids.
WHPCF@SC
(2013)
Aurelien Cassagnes
,
Yu Chen
,
Hirotada Ohashi
Heterogeneous COS pricing of rainbow options.
WHPCF@SC
(2013)
Andrey Nikolaev
,
Ilya Burylov
,
Sania Salahuddin
Intel® version of STAC-A2 benchmark: toward better performance with less effort.
WHPCF@SC
(2013)
2011
Elaine Kant
Domain specific languages and the acceleration of computational finance.
WHPCF@SC
(2011)
Charles H. Finan
Exascale computing challenges and their application to a production datacenter.
WHPCF@SC
(2011)
Heiner Litz
,
Christian Leber
,
Benjamin Geib
DSL programmable engine for high frequency trading acceleration.
WHPCF@SC
(2011)
Herman Lam
,
Gregg Cooke
FinRC: challenges and opportunities for high-performance reconfigurable computing (HPRC) in computational finance.
WHPCF@SC
(2011)
E. Wes Bethel
,
David Leinweber
,
Oliver Rübel
,
Kesheng Wu
Federal market information technology in the post flash crash era: roles for supercomputing.
WHPCF@SC
(2011)
WHPCF'11, Proceedings of the Fourth Workshop on High Performance Computational Finance, co-located with SC11, Seattle, WA, USA, November 13, 2011
WHPCF@SC
(2011)
David A. Padua
Autotuning for high performance computing.
WHPCF@SC
(2011)
Oskar Mencer
,
Erik Vynckier
,
James Spooner
,
Stephen Girdlestone
,
Oliver Charlesworth
Finding the right level of abstraction for minimizing operational expenditure.
WHPCF@SC
(2011)
Henning Marxen
,
Anton Kostiuk
,
Ralf Korn
,
Christian de Schryver
,
Stephan Wurm
,
Ivan Shcherbakov
,
Norbert Wehn
Algorithmic complexity in the heston model: an implementation view.
WHPCF@SC
(2011)
Eduardo Javier Huerta Yero
,
Fabiano de Oliveira Lucchese
Practical experiences on the gridification of financial applications.
WHPCF@SC
(2011)