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The Intel Parallel Computing Center at Northwestern was established in 2014 by the Department of Industrial Engineering and Management Sciences (IEMS) and the Department of Electrical Engineering and Computer Science (EECS) to develop novel high performance parallel computing algorithms in financial engineering and computational finance targeting the Xeon and Xeon Phi architectures, and to propose novel processor architecture designs and software implementations that will allow additional leaps in performance and energy efficiency for this class of computational workloads. Specific computational finance research projects to be studied include algorithmic options trading strategies, option portfolio allocation, interest rate modeling, options pricing, nested simulation in financial risk management, green simulation and updating meta-models with target accuracy.

 

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