Special issue for the Workshop on High Performance Computational Finance

Abstract

The June 2011 special issue of Concurrency and Computation: Practice and Experience offers papers from the Workshop on High Performance Computational Finance (WHPCF) at Supercomputing. The first part of the special issue focuses on the practice of financial modeling with accelerator platforms and covers topics ranging from pricing multiasset American and barrier options on GPUs, estimating the market Value-at-Risk of large portfolios on highly parallel architectures, and pricing credit derivatives using FPGAs. The second part of the special issue presents proof of concept high performance algorithms applied to financial applications. Gilles Pagés and Benedikt Wilbertz consider the difficult and ubiquitous problem of pricing American style and multiple exercise options. Duy Minh Dang, Christina Christara and Kenneth Jackson consider the problem of American option pricing. The remaining two articles in the special issue both focus on the application of a novel algorithm to algorithmic trading.