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Maxeler applications in financial engineering

Maxeler applications in financial engineering. ALEKSANDAR RAKIĆEVIĆ prof. BRATISLAV PETROVIĆ PhD student Menthor University o f Belgrade Faculty of Organizational Sciences (FON). MAXELER FINANCIAL APPLICATIONS. Interest rate curve fitting Pricing /valuation Model calibration

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Maxeler applications in financial engineering

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  1. Maxeler applications in financial engineering ALEKSANDAR RAKIĆEVIĆ prof. BRATISLAV PETROVIĆ PhD student Menthor University of Belgrade Faculty of Organizational Sciences (FON)

  2. MAXELER FINANCIAL APPLICATIONS • Interest rate curve fitting • Pricing/valuation • Model calibration • Scenario analysis • Risk analysis • Portfolio optimization • High frequency trading 2 / 7

  3. 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 3 / 7

  4. Pricing CDOs 4 / 7

  5. Risk analysis using Monte Carlo simulation 5 / 7

  6. 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) 6 / 7

  7. CONTACT INFO: SYSTEM THEORY AND CONTROL LABORATORY Faculty of organizational sciences, Belgrade University Research area: • Modeling and control, • Optimization, • Computational inteligence, • Machine learning. Application domains: Finance and management. ALEKSANDAR RAKIĆEVIĆ E-mail: aleksandar.rakicevic@fon.bg.ac.rs 7 / 7

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