Carrots and Sticks – Market Forces Changing the Face of HPC in Finance

For decades, banks have relied on high-performance computing (HPC). When it comes to problems too hard to solve deterministically (like predicting market movements), Monte Carlo simulation is the only game in town.

Banks use proprietary pricing models to calculate the future value of various financial instruments. They generate thousands of scenarios (essentially randomized vectors of self-consistent risk factors), compute the value of each instrument across every scenario (often over multiple time steps) and roll-up the portfolio value for each scenario.