HIPERFIT News March 2015

News from the Research Center on Functional High-Performance Computing for Financial IT

This month HIPERFIT is saying farewell to (now former) Assistant Professor, at DIKU, Jost Berthold, who has decided to move to Sidney, Australia, where he will be joining a major bank in their effort at using functional programming (i.e., Haskell) for performance intensive data analyses. We wish Jost the best of luck in his new exciting endeavours.

In March 2015, HIPERFIT is (co-)hosting two seminars:

  March 4, 15:15-16:15, AUD 10, HCØ (NOTE Wednesday)
  Optimal life-time utility: the effect of retirement age
  Felix Henschel (Ulm)
  Organised in collaboration with MATH (seminar on applied mathematics and statistics)

  March 17, 15:00-16:00, AUD 7, HCØ
  The HIPERFIT Prototype for Contract and Portfolio Management and Pricing
  Danil Annenkov and Martin Elsman (DIKU)

See below for details about the two March seminars. As always, more information about HIPERFIT activities is available from the HIPERFIT web site, including access to recent publications and presentations from the latest HIPERFIT Workshop.

Optimal life-time utility: the effect of retirement age
Felix Henschel (Ulm)
Time: Wed, March 4, 15:15
Place: AUD 10, HCØ

This paper incorporates retirement decision in an optimal consumption and optimal asset allocation problem. We mainly study the question of whether early retirement brings some added value for individuals and of whether there exists an optimal retirement time.

We identify three key factors which crucially influence the optimal retirement time decision: risk aversion parameter, the leisure gains/losses of choosing a retirement age different from the legally stipulated retirement age, and how the individual weighs the consumption during his working life in his entire utility. Furthermore, we find labor income plays an important role in the retirement decision.

The seminar is held in collaboration with Department of Mathematical Sciences.
Organizer: Jeffrey F. Collamore, MATH
The HIPERFIT Prototype for Contract and Portfolio Management and Pricing
Danil Annenkov and Martin Elsman (DIKU)
Tue, March 17, 15:00-16:00
Place: AUD 7, HCØ

In this talk, we present a newly crafted prototype of a pricing GUI and framework for integrating a certified portfolio and contract management engine with a state-of-the-art Monte-Carlo-based parallel pricing engine. We will give a demonstration of the prototype, describe its key components, an illustrate how they are integrated. We also provide suggestions for future projects (ranging from BSc students projects to advanced PhD projects) with the goal of extending the prototype in a number of different ways. The prototype is a Web-based system with an architecture that allows for GPGPU kernel code to be executed on servers equipped with graphics cards. The prototype glue and Web-system is written in Haskell.

Danil Annenkov is PhD student at the Department of Computer Science, University of Copenhagen and Martin Elsman is Associate Professor and Manager for the HIPERFIT Research Center at the University of Copenhagen.
Copyright © 2015 HIPERFIT Research Center, All rights reserved.

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