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Computational Finance | Capital Markets

The ability to compete has never been more important. Industries are consolidating, and capital market firms are under much greater scrutiny and government regulation. In today’s high paced market, speed and productivity are the differentiators which provide the competitive advantage necessary to increase market share. High performance computing is being used in capital markets to dramatically improve time-to-market today.

Computational finance can especially benefit from the speed improvements of high performance computing (HPC). Although credit derivatives and exotic investments are gaining in popularity, there is a cost associated with this trend. As new alternative investment products are introduced, risk, or portfolio managers need robust analysis tools to get an accurate and timely view of a funds worth and value at risk (VaR). However, advances in pricing, advanced analytics, and risk and margin analysis tools now require computational horsepower that exceeds the power of a desktop computer.

Challenges

  • The types of analysis and the number of iterations required to perform a calculation, such as a Monte Carlo, often run for multiple hours. This limits the ability to react to intra-day market conditions.

  • Tools that take advantage of HPC are considered complex and their use in performing analysis tends to be limited to a “quant” specialty which is often poorly integrated with mainstream business processes.

  • The ability to quickly develop and bring to market innovative and often complex structured products is prohibited by the limits of desktop computing.

Benefits

With the additional computing power a Windows HPC cluster adds to the environment a risk, or portfolio, manager can now take advantage of advanced analytics and more complex risk and margin analysis tools. The result is they can get a more accurate and timely view of a funds worth and value at risk. This also allows them to introduce more exotic products to the market quicker, providing a competitive edge.

  • Improved Competitiveness: The ability to quickly release differentiated products into the marketplace can solidify a firm's ability to compete. High customer demands require the use of high performance solutions to maintain an edge.

  • Improved processing speed to run more accurate simulations: Bringing the supercomputing speed of a Windows HPC server cluster to the desktop user enables an analyst/trader to run more complex and accurate simulations. These result in the ability to create higher profit products while reducing a firm’s exposure to risk.

  • Integration with Microsoft Office: Excel is the most used front-end tool in the financial industry. By combining Excel with Microsoft Windows HPC Server you can bridge the desktop and HPC computing environments within a well-integrated end-user experience. Windows HPC Server makes it possible to distribute Excel calculations across a set of compute nodes providing an order-of-magnitude improvement in performance.

Soluton Components

  • Microsoft Windows HPC Server 2008: Windows HPC Server 2008 provides a secure, cost-effective solution that allows analysts to spend more time analyzing complex data sets to make better decisions. Integration with mainstream applications, such as Microsoft Office Excel 2007, enables you to prototype on a client computer while enabling production deployment on server computers. In addition, developers can leverage the familiar Windows-based integrated development environment (IDE) of Microsoft Visual Studio 2008. They can build and deploy parallel, Microsoft .NET-based applications quickly and easily.

  • Microsoft Office Excel 2007: Microsoft has made significant improvements in Excel 2007 guaranteed to excite spreadsheets enthusiasts. Users can now create spreadsheets with up to 16,384 columns and 1,048,576 rows and benefit from expanded memory capabilities up to the maximum amount of memory addressable within 32-bits. Finally, Excel now includes a multi-threaded calculation engine. This means, that spreadsheets can maximize computational power. When running multi-core, multi-CPU, or hyper-threaded processes, linear improvements can be seen in performance, assuming parallelization of calculations.

Summary

Microsoft Windows HPC Server 2008 brings the supercomputing power of high-performance computing in a familiar Windows-based development environment. Through the use of Microsoft High Performance Computing financial services customers will be more competitive by improving time to market, reduce operational risk by taking advantage of more computational intense calculation methods, and deal with regulatory compliance and date driven mandates. By integrating with products like Microsoft Excel, customers can model in Excel then go into production with as little rework and technical risk as possible. Integration with Office SharePoint Server 2007 provides the ability to lock down models as part of Sarbanes Oxley (SOX) compliance.

Microsoft and its partners are addressing this challenge by creating affordable high-performance computing solutions that meet the business needs of financial services enterprises.

Solutions for Financial Services