High Performance Computing (Dedicated to Computational Finance)

HPC Course Summer 2014


Gerneral Information

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.

Part Ⅰ Day 1 Course Introduction slides
Day 2 Principles of Parallel Algorithm Design slides
Intel Compiler slides
Day 3 Analytical Modeling of Parallel Systems slides
Mechanics of Options Markets slides
Properties of Stock Options slides
Trading Strategies Involving Options slides
Lab 1
Part Ⅱ Day 4 Programming Shared Address Space Platforms slides
Binomial Trees slides
Binomial Option Pricing on Intel Architecture slides
Day 5 Extending Parallelism slides
Wiener Processes and Itô’s Lemma slides
Lab 2
Part Ⅲ Day 6 Rise of Modern Quantitative Finance slides
Day 7 Numerical Methods in Quantitative Finance slides
Day 8 Summarize and Advice slides


1 Options, Futures, and Other Derivatives 9th Edition(textbook)

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