High-performance computing (HPC) is increasingly being used to solve big problems in business and finance. At the same time, an increase in the accuracy, reliability and frequency of financial analytics is driving financial institutions towards HPC. As a result, the need for financial experts with HPC skills has never been greater. With EU funding, the HPCFINANCE (Training in modern quantitative methods and high-performance computing for finance) project worked to develop and implement state-of-the-art techniques for derivative pricing and risk management through secondments. HPCFINANCE had three interrelated areas: methodologies and modelling; quantitative risk management and derivative pricing; and HPC engineering. The multidisciplinary programme consisted of modular work streams in these fields, helping the industry to apply the newest ideas and most up-to-date methods. The project trained 12 early-stage researchers (ESRs) and 2 experienced researchers (ERs) in proactively responding to the financial industry’s future requirements. The ESRs and ERs were seconded to partner organisations for minimum two- and one-month periods, respectively. These organisations represented investment and insurance companies, banks, consultants and HPC solution providers. The 14 researchers also collaborated with numerous private sector organisations and universities. Fellows developed, integrated and implemented the most realistic and effective financial models for successful risk management and pricing of derivatives on different HPC platforms. The development and application of advanced models and methods for derivative pricing and risk management was featured in 19 journal papers and more than 50 conference presentations. HPCFINANCE fused financial engineering with supercomputing infrastructure to make the regulatory and capital environment in the financial services industry less demanding and complex. Europe’s finances stand to benefit, as will its financial institutions and their clients.
High-performance computing, risk management, finance, HPCFINANCE, derivative pricing