1. Maxeler applications in financial engineering ALEKSANDAR RAKIĆEVIĆprof. BRATISLAV PETROVIĆ PhD studentMenthor University of Belgrade Faculty of Organizational Sciences (FON)

2. MAXELER FINANCIAL APPLICATIONS Interest rate curve fitting Pricing/valuation Model calibration Scenario analysis Risk analysis Portfolio optimization High frequency trading 2 / 7

3. THESE PROBLEMS ARE COMPUTATIONALLY EXPENSIVE Some intensive calculations: –expected values for trees based models with thousands of steps –correlation and covariance matrices for thousands of assets –multi variate Monte Carlo simulations with multiple payoffs –runing models for high frequency trading 3 / 7

4. Pricing CDOs 4 / 7

5. Risk analysis using Monte Carlo simulation 5 / 7

6. WHAT ARE THE EFFECTS OF MAXELER APPLICATIONS Example: Acceleration of complex credit derivatives calculations at JP Morgan Code transformation: 898 → 3696 (growth factor 4) Speedup: 220x (overnight → several min) Power usage: - 6% American Finance Technology Award (2011) 6 / 7

7. SYSTEM THEORY AND CONTROL LABORATORY Faculty of organizational sciences, Belgrade University Research area: –Modeling and control, –Optimization, –Computational inteligence, –Machine learning. Application domains: Finance and management. ALEKSANDAR RAKIĆEVIĆ E-mail: aleksandar.rakicevic@fon.bg.ac.rs CONTACT INFO: 7 / 7