ENGINEERING NEWS

Northwestern University Joins the Intel® Parallel Computing Centers Program

Center will provide funding for research in financial engineering

The world of finance used to turn to accountants. Now it turns to engineers.

In recent years, financial engineering has become integral to solving important problems in the financial sector. At the McCormick School of Engineering and Applied Science at Northwestern University, financial engineers integrate mathematics, statistics, economics, and computer science to develop mathematical and statistical tools to manage financial risk and optimize investment portfolios. 

But future breakthroughs in financial engineering will require new high-performance computing resources. To help meet these and other future scientific computing needs, Intel has named McCormick as one of its Intel® Parallel Computing Centers (Intel® PCCs).  With support and funding from Intel, research at the new center will use high performance parallel computing to solve problems in finance. 

Vadim LinetskyResearchers will develop computational algorithms and high-performance computing implementations in areas such as algorithmic options trading strategies, option portfolio allocation, interest rate modeling, derivatives pricing, and nested simulation in financial risk management. The researchers will also propose novel processor architecture designs and software implementations that will allow additional leaps in performance and energy efficiency for this class of computational workloads. Professors involved include Diego Klabjan and Vadim Linetsky, professors of industrial engineering and management sciences; Jeremy Staum, associate professor of industrial engineering and management sciences; and Nikos Hardavellas, assistant professor of electrical engineering and computer science.

“We are excited to join the Intel® PCC program,” Linetsky said. “Results from this center will help researchers working in the financial industry solve key finance challenges and will provide an opportunity to impact banks, trading firms, and financial regulators. This collaboration with Intel will also give us access to the manycore Intel® Xeon Phi™ coprocessors, which will help train our students in the future of parallel computing.”

“We are excited that Northwestern University has joined the Intel PCC program,” said Bob Burroughs, director of technical computing ecosystem enabling at Intel. “By working with researchers at the forefront of financial engineering we have the opportunity to make a real impact on the industry.”