PROGRAM Will be updated, please visit http://www.hpcfinance.

eu/networking-and-training-event-tampere
Location Sokos Hotel Ilves Monday, May 13 Sokos Hotel Ilves Tuesday, May 14 Power the Financial Analytics with Intel Xeon Processors and Intel Xeon Phi Coprocessors Shuo Li Intel Optimising Risk Management 9:45-10:30 10:30-11:00 Coffee and Registration Welcome, Juho Kanniainen, TUT Finance & Risk - Why HPC? - Why now? 11:00-11:45 Erik Vynckier Scottish Widows Investment Partnership - SWIP Accelerating financial computation 11:45-12:30 Wayne Luk Imperial College Lunch HPC solutions in Finance on Windows Azure Philip Bull Microsoft Dataflow Computing for Finance 14:15-15:00 Craig Davies Maxeler Coffee Speeding up natural catastrophe and financial models with HPC Fatima Araujo Willis Petascale to Exascale: the hardware and software challenge Mark Parsons EPCC Coffee Cloud Supercomputing - from 0 to 100 TFLOPS in one click Yuriy Guts Eleks Event Dinner - Nsineula Tower Sponsored by Microsoft Terry Spitz Citi Coffee Why the future is hybrid? Hicham Lahlou Xcelerit Distributed Cloud Computing in Finance Rainer Wehkamp Techila Technologies Lunch Dynamic stochastic optimization with HPC Michael Dempster Cambridge University & CSA Variable Annuity Semi-Static Hedging Strategy Testing with HPC Peter M. Phillips AonBenfield Coffee GPU Computing for Derivative Pricing Experience from a Vendor Thomas Weber SciComp Scaling Financial Analytics from the Desktop to the Cloud Marc Vlitos FiNCAD Coffee Computational Finance with MATLAB Sofia Mosesson MathWorks SokosHotel Ilves Wednesday, May 15 PDE solution for Stochastic Local Volatility Models Zaid Haddou University of Manchester Parallel Multi-Level Monte CarloSimulation Thomas Gerstner Goethe University Frankfurt Coffee Efficient callibration of the dynamic SABR model using multi-GPU Jos Antonio Garca University of A Corua NAG for finance engineering John Holden Numerical Algorithms Group Lunch Adjoint Methods in Computational Finance Uwe Naumann RWTH Aachen Interval Arithmatic and Automatic Differentiation in Optimisation and Model Calibration Grzegorz Kozikowski University of Manchester Coffee American Monte-Carlo for Portfolio CVA/PFE Alexandre Moralli Murex Least-Squares Monte Carlo vs. Stochastic on Stochastic for Variable Annuities and Exotic Options with BS/Heston-CIR Georgios Dimitrakopoulos University of Manchester Coffee

09:00-9:45

12:30- 13:30 13:30-14:15

15:00-15:30 15:30-16:15

16:15-17:00

17:00-17:15

17:15-18:00 19:30

Cont.

PROGRAM Cont. Will be updated, please visit http://www.hpcfinance.eu/networking-and-training-event-tampere

Location

Tampere University of Technology Thursday, May 16 HPCFinance EU Project internal: Management and supervisory board meeting HPCFinance EU Project internal: Management and supervisory board meeting Coffee HPCFinance EU Project internal: Management and supervisory board meeting Complementary training: negotiation skills Pentti Vanha-Aho TUT Complementary training: Tomi Nokelainen TUT Coffee

09:00-9:45

Tampere University of Technology Friday, May 17 HPC in the Cloud made easy: live demos and examples in Windows Azure Marko Koskinen Techila Technologies HPC in the Cloud made easy: Marko Koskinen Techila Technologies Coffee

9:45-10:30 10:30-11:00

11:00-11:45

Dataflow Computing, Hands- Accelerate Financial Computations on Exercise in MATLAB

11:45-12:30 12:30- 13:30 13:30-14:15

14:15-15:00 15:00-15:30 15:30-16:15

16:15-17:00

Craig Davies Daniel Armyr Maxeler MathWorks Dataflow Computing, Hands- Accelerate Financial Computations HPCFinance EU Project on Exercise in MATLAB internal: Management and Craig Davies Daniel Armyr supervisory board meeting Maxeler MathWorks Lunch Lunch Code optimization: principles and Introduction to OpenMP examples Mikko Byckling Mats Aspns CSC - IT Center for Science bo Academi Code optimization: principles and Introduction to OpenMP examples Mikko Byckling Mats Aspns CSC - IT Center for Science bo Academi Coffee Coffee GPU computing in finance - Local Volatility (Monte Carlo Jacques du Toit Numerical Algorithms Group Algorithmic Differentiation Software and application to Uwe Naumann RWTH Aachen