High Performance Computing and Finance

Modern financial institutions are increasingly dependent on the use of high performance computing for day-to-day operations and for risk management. What is often not recognized in the HPC community, and by the top 500 computer lists, is magnitude and scale of computing demands in banks. For example, some routine calculations involve the use of hundreds of thousands of CPU hour per night. This presentation will discuss some of the computer science and engineering issues that are encountered in modern finance. Topics will include: algorithmic issues, compiler design, high-speed networks, large-scale database management and the design of financial instruments. Particular attention will be given to the impact, and need for, future generations of computers.