Details of Grant 

EPSRC Reference:	GR/L13025/01
Title:	RISK MANAGEMENT OF CONTINGENT CLAIMS WITH ADVANCED COMPUTATIONAL SYSTEMS
Principal Investigator:	Nudd, Professor G
Other Investigators:	Clewlow, Dr L Kerbyson, Dr D
Researcher Co-Investigators:
Project Partners:
Department:	Computer Science
Organisation:	University of Warwick
Scheme:	Standard Research (Pre-FEC)
Starts:	21 October 1996	Ends:	20 October 1999	Value (£):	195,189
EPSRC Research Topic Classifications:	Parallel Computing
EPSRC Industrial Sector Classifications:	Financial Services
Related Grants:
Panel History:
Summary on Grant Application Form
This is an inter-disciplinary research project which addresses the growing need for high performance computation within the financial community. Currently investment banks and other financial institutions have large portfolios of complexcontingent claims which must be priced and hedged or risk managed. The processing needs include; as close as possible to instantaneous pricing of individual complex instruments in support of the daily trading activity, fast reporting of the value and sensitivity of the portfolio to the market, and accurate 'end of day' reporting of the detailed status of the portfolio. At present the capability to achieve all of the above requirements particularly at the desired response speeds is significantly beyond the state of art. In order to make the necessary progress in this area, research is required in; algorithmic and numerical techniques suitable for the underlying applications, understanding of computational mapping techniques to achieve optimum throughput on high performance machinery with optimum concurrency and the development of performance analysis techniques for optimisation. One result of this project will be a workbench which will allow the user to simultaneously investigate a wide range of mathematical formulations for option risk pricing, explore variations in their computation mappings and determine the relative computational performance for a variety of parallel machines.
Key Findings
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Potential use in non-academic contexts
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Further Information:
Organisation Website:	http://www.warwick.ac.uk