02 December
Noon, LT308 Huxley
| Title: | Grid Computing for Derivatives Pricing and Risk Management - Life Beyond Blades? |
|---|---|
| Abstract: | The presentation will address the computational challenges surrounding the pricing and risk management of complex derivatives in finance. Compute demand in this area has experienced exponential growth over the last ten years and this is showing little sign of abating, with the industry spending hundreds of millions of pounds on compute infrastructure on this function alone. Financial institutions face a serious challenge in keeping up with this demand whilst keeping costs and compute management under control. The presentation will introduce some of the theory behind the calculations, use cases for the calculations and some typical approaches to solving them before moving onto the alternatives for managing this growth beyond the traditional data centre stacked with blades approach. |
| Speaker Details: | Simon Holden Simon is the head of Morgan Stanley's Equity Risk and Pricing technology group and a Managing Director in IT. This 150-strong global team is responsible for all front-office risk and pricing technology within the equity division, as well as critical interfaces to middle and back-office as well as firm risk management. Simon graduated with a BSc in Computer Science from Imperial in 1990. He worked for eight years at the Marine Resources Assessment Group, building up an IT team developing natural resource modelling systems. In 1998, he joined Morgan Stanley as an analyst developer in the risk management reporting group. He performed a number of roles in the risk management area before taking the lead of the group in 2006. Morgan Stanley has an excellent relationship with Imperial and Simon has worked with summer interns, industrial placement students and graduate trainees as well as being actively involved in the university relationship during his time at the firm. |
