HPC Course Summer 2014
Instructor: Shuo Li shuo.li<at>intel.com
Introduction of our instructor:
Shuo Li works at Intel's developer relations group. He has been involved in software tools and applications performance on Intel architectures for more than 25 years. In his current role, he works with quantitative developers in financial industry for high performance parallel computing. Shuo is known for his involvement in Many Integrated Core technology and have been a regular speaker of that technology in the HPC industry. For 2012-2013, he was rewarded Intel Developer Forum Best Speaker award. He also teaches Computational Financial course in Wall Street on behalf of Intel.
Time: Week 19 -- Week 20 (June 30th -- July 11th)
Place: 上院(Upper House)411
Introduction of our course:
Welcome to the Interdisciplinary area of computer architecture, high performance computing, numerical methods, Parallel Programming and the Quantitative Finance. In this seminar, we will look at new and innovative ways to take advantage of the latest advances of multicore and manycore computing and solving the problem and meeting the challenge of quantitive finance. We are going to learn how to apply Parallel programming and parallel design patterns to popular numerical methods in quantitative finance.
Part Ⅰ: Basics
1. Multicore and Manycore Microprocessors
2. Principles of Parallel Algorithm Design
3. Analytical Modeling of Parallel Programs
Part Ⅱ: Parallel Programming
4. Parallel Programming Paradigms
5. Programming Tools and Libraries
Part Ⅲ: Quantitation Finance and Financial Algorithms
6. Rise of Modern Quantitative Finance
7. Numerical Methods in Quantitative Finance
8. Innovative Application Outlook. Big Data, Compliance, Data Mining.
Hands on exercises: 3-4 Labs.
Can be accomplished on modern Windows machine notebook.
||Principles of Parallel Algorithm Design
||Analytical Modeling of Parallel Systems
|Mechanics of Options Markets
|Properties of Stock Options
|Trading Strategies Involving Options
||Programming Shared Address Space Platforms
|Binomial Option Pricing on Intel Architecture
|Wiener Processes and Itô’s Lemma
||Rise of Modern Quantitative Finance
||Numerical Methods in Quantitative Finance
||Summarize and Advice
||Options, Futures, and Other Derivatives 9th Edition(textbook)