Fast Analytics and HPC

This video is the recorded version from the  Fast Analytics and HPC Stream at QuanTech and includes all the presentation material. There is also a discussion forum included when you purchase this video to continue the debate.

Chairs:

Morning Sessions: Professor Mike Giles: Professor Of Scientific Computing, Oxford-Man Institute of Quantitative Finance

Afternoon Sessions: Andrew Aziz: Director – Strategy, Research, & Quantitative Finance, IBM Risk Analytics

Since the financial crisis of 2008, financial institutions have radically shifted their focus towards active management of the risks associated with OTC contracts. Front office pricing is now tightly connected to traditional middle-office/back-office tasks and parameters such as credit risks, funding costs, and capital costs need to be accounted for in the valuation of the trade.

Achieving this requires a fundamental change in the way that a bank prices and assesses the risk of derivatives. The traditional over-night approach to risk computation is moving towards near real-time calculations.

All of this requires new calculations (CVA, FVA… XVA), greater computing power and very fast turnaround on risk calculations. Algorithmic optimizations are part of the answer, reducing the mathematical complexities involved. However, this is typically not sufficient and Quants/Quant-devs have to employ High Performance Computing technology and performance-tune their application without being distracted from the task at hand.

Keynote speaker: Susanne Chishti: CEO, FINTECH Circle, Chairman FINTECH Circle Innovate & Co-Editor of The FINTECH Book

The Global State of the Fintech Industry

Panel: The Role of Quantitative Finance in The Fintech World

Moderator:

• Susanne Chishti: CEO, FINTECH Circle, Chairman FINTECH Circle Innovate & Co-Editor of The FINTECH Book 

Panelists:

• Dong Qu: Global Head Of Quantitative Product Group, UniCredit
• Prof. Dr. Stefan Mittnik, Founder & Scientific Advisory Board, Scalable Capital
• Jens Woloszczak: Co-Founder & COO, Spotcap
• Andrew Green: Author of ‘XVA: Credit, Funding and Capital Valuation Adjustments

Topics:

The Quantech scene: Do the financial behemoths need the start-up sector to innovate?  How to best collaborate between top fintech quant startups and leading players? How to integrate external innovation quickly and manage the procurement “bottleneck”?

Efficient Estimation of CCR Measures and Capital for Portfolios of Derivatives

Presenter: Markus Hofer: Quantitative Analyst, ING Bank

Large Memory Appliances with Acceleration

Presenter: Claudio Albanese: Head of Analytics, IMEX Initial Margin Exchange

Efficient Techniques for the Calculation of Counterparty Credit Risk (CCR) Analytics

Presenter: Andrew Aziz: Director – Strategy, Research, & Quantitative Finance, IBM Risk Analytics

Consensus Computation of OTC Derivatives Valuation

Presenters: Marc Henrard: Head of Quantitative Research, OpenGamma & Nick Zeeb: Lead Engineer, Clearmatics

Easy and Fast: Dataflow Risk Analytics

Presenters: Geoff Smailes: Advisor, Maxeler

Fast Analytics and HPC Panel:

Moderator:

• Andrew Aziz: Director, Strategy, Methodology & Quantitative Finance, IBM

Panelists:

• Claudio Albanese: CEO, Global Valuation Limited
• David Lecomber: CEO, Allinea Software
• Geoff Smailes: Advisor, Maxeler

Topics:

• Risk-aware OTC derivatives pricing: the need for speed
• In-house software – versus turnkey solution? Can you trust the black box?
• Algorithmic optimisations versus software acceleration?
• CPU versus accelerator or CPU AND accelerators? Is the future hybrid?
• Are today’s Quants ready and able to take on the programming challenge?