Parallel computing applications and financial modelling

Authors:
Heather M. Liddell;D. Parkinson;G. S. Hodgson;P. Dzwig
Affiliations:
Department of Computer Science, Queen Mary, University of London, Mile End Road, London E1 4NS, UK. E-mail: heather@dcs.qmul.ac.uk;Department of Computer Science, Queen Mary, University of London, Mile End Road, London E1 4NS, UK. E-mail: heather@dcs.qmul.ac.uk;Department of Computer Science, Queen Mary, University of London, Mile End Road, London E1 4NS, UK. E-mail: heather@dcs.qmul.ac.uk;Department of Computer Science, Queen Mary, University of London, Mile End Road, London E1 4NS, UK. E-mail: heather@dcs.qmul.ac.uk
Venue:
Scientific Programming - Distributed Computing and Applications
Year:
2004

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Abstract

At Queen Mary, University of London, we have over twenty years of experience in Parallel Computing Applications, mostly on "massively parallel systems", such as the Distributed Array Processors (DAPs). The applications in which we were involved included design of numerical subroutine libraries, Finite Element software, graphics tools, the physics of organic materials, medical imaging, computer vision and more recently, Financial modelling. Two of the projects related to the latter are described in this paper, namely Portfolio Optimisation and Financial Risk Assessment.