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Parallel pricing of financial instruments
We are researching the use of parallel algorithms and numerical methods for the pricing of financial instruments. We aim to (1) develop novel parallel pricing algorithms, (2) implement such algorithms within an existing pricing infrastructure using parallel processors (such as graphics processing units) and (3) quantify the resulting speed/cost implications. This project is part of the UK Doctoral Training Centre in Financial Computing funded by the Research Councils UK Digital Economy Programme. The Research Councils UK Digital Economy Programme is a cross council initiative led by the Engineering and Physical Sciences Research Council. It brings together the work of EPSRC, AHRC, ESRC and MRC. We are also working with our industrial partner, BNP Paribas. Q Nasar-Ullah Dr I Eames
1 Researchers
  • Dept of Mechanical Engineering
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Status: Active
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