Motivation

• Cooperative distributed (and parallel) computing will become mainstream in financial engineering due to a convergence of the following factors:
  • Increased volatility due to globalization of financial markets
  • Global distribution of data sources
  • Increase in complexity of derivatives and risk management vehicles
  • Increased demand for real-time asset allocation decision support
  • Increased volume of raw data and need to process large databases
  • Increased volume on the retail side of the spectrum in part due to on-line technologies (Internet and WWW)
• High-performance computing technologies are becoming indispensable in the application domains such as:
  • Derivative valuation, particularly over-the-counter products and exotics
  • Portfolio optimization, valuation and asset allocation
  • Hedging of large portfolios in real time
  • Arbitrage trading
  • Risk analysis simulations
  • Pattern recognition
  • Detection of fraud
  • Credit risk analysis
  • Market segmentation
• NPAC is engaged in development of new tools for quantitative financial modeling which take advantage of scalable computer architectures
• The ultimate goal is to integrate various quantitative analysis transparently using Web technologies into a seamless cooperative computing environment, capable of supporting all aspects of enterprise-wide risk management.