Proceedings of the 2nd Workshop on High Performance Computational Finance - WHPCF '09
Latest Publications

TOTAL DOCUMENTS

9

(FIVE YEARS 0)

H-INDEX

4

(FIVE YEARS 0)

Published By ACM Press

9781605587165

Latest Documents Most Cited Documents Contributed Authors Related Sources Related Keywords

Distributed calculations on fixed-income securities

Proceedings of the 2nd Workshop on High Performance Computational Finance - WHPCF '09 ◽

10.1145/1645413.1645417 ◽

2009 ◽

Author(s):

Timothy J. Williams

Keyword(s):

Fixed Income ◽

Fixed Income Securities

Download Full-text

Technology and the great mess of '08

Proceedings of the 2nd Workshop on High Performance Computational Finance - WHPCF '09 ◽

10.1145/1645413.1645415 ◽

2009 ◽

Author(s):

David Leinweber

Download Full-text

Acceleration of market value-at-risk estimation

Proceedings of the 2nd Workshop on High Performance Computational Finance - WHPCF '09 ◽

10.1145/1645413.1645418 ◽

2009 ◽

Author(s):

Matthew Dixon ◽

Jike Chong ◽

Kurt Keutzer

Keyword(s):

At Risk ◽

Value At Risk ◽

Risk Estimation ◽

Download Full-text

Fast and parallel algorithms for pricing American options

Proceedings of the 2nd Workshop on High Performance Computational Finance - WHPCF '09 ◽

10.1145/1645413.1645414 ◽

2009 ◽

Author(s):

Jorge Nocedal

Keyword(s):

Parallel Algorithms ◽

American Options

Download Full-text

Implementing a high-volume, low-latency market data processing system on commodity hardware using IBM middleware

Proceedings of the 2nd Workshop on High Performance Computational Finance - WHPCF '09 ◽

10.1145/1645413.1645420 ◽

2009 ◽

Author(s):

Xiaolan J. Zhang ◽

Randall Schnier ◽

Philippe Selo ◽

Michael Spicer ◽

Volkmar Uhlig ◽

...

Keyword(s):

Data Processing ◽

Processing System ◽

High Volume ◽

Low Latency ◽

Data Processing System ◽

Market Data ◽

Commodity Hardware

Download Full-text

Requirements for systemic risk management in the financial sector

Proceedings of the 2nd Workshop on High Performance Computational Finance - WHPCF '09 ◽

10.1145/1645413.1645416 ◽

2009 ◽

Author(s):

Donna N. Dillenberger ◽

Alan J. King ◽

Francis N. Parr

Keyword(s):

Risk Management ◽

Systemic Risk ◽

Financial Sector

Download Full-text

Low cost high performance uncertainty quantification

Proceedings of the 2nd Workshop on High Performance Computational Finance - WHPCF '09 ◽

10.1145/1645413.1645421 ◽

2009 ◽

Author(s):

C. Bekas ◽

A. Curioni ◽

I. Fedulova

Keyword(s):

Uncertainty Quantification ◽

High Performance ◽

Low Cost ◽

Performance Uncertainty

Download Full-text

GPU based sparse grid technique for solving multidimensional options pricing PDEs

Proceedings of the 2nd Workshop on High Performance Computational Finance - WHPCF '09 ◽

10.1145/1645413.1645419 ◽

2009 ◽

Author(s):

Abhijeet Gaikwad ◽

Ioane Muni Toke

Keyword(s):

Sparse Grid ◽

Options Pricing ◽

Download Full-text

Cost vs. performance of VaR on accelerator platforms

Proceedings of the 2nd Workshop on High Performance Computational Finance - WHPCF '09 ◽

10.1145/1645413.1645422 ◽

2009 ◽

Author(s):

Mukul Majmudar ◽

Ciprian Docan ◽

Manish Parashar ◽

Christopher Marty

Download Full-text