Ithaca, N.Y. — The Cornell Theory Center (CTC), a leader in high performance computing systems, applications and tool development, has been awarded a three-year contract by TG Information Network Co., Ltd. (TGINet) of Tokyo to develop HPC financial tools to better manage risk in Japanese and Asian capital markets.
“New algorithms, robust numerical PDE methods, volatility surfaces, and parallelism will be used to develop tools that more accurately compute the risk and reward profiles of large-scale portfolios, options, and Value-at-Risk (VAR) calculations,” explained CTC director, Thomas F. Coleman, who also directs the Financial Industry Solutions Center (FISC) in Manhattan.
“We’re pleased to be working with CTC to develop financial tools optimized for high performance computing,” said TG Information Network president Toshihiko Takahashi. “Analytic and visualization tools optimized for parallel computing environments will help financial institutions better manage opportunities and risk in markets that are becoming increasingly competitive,” Takahashi added. The Japanese government plans to initiate Phase III of the “Big Bang”, an extensive deregulation of Japan’s finance industry designed to foster competition, in 2001.
The CTC development team will use new methods and algorithms in addition to parallelism to create the functionality required for pricing and hedging basic and exotic options, rebalancing portfolios, and calculating implied volatility surfaces. Tool functions will be suitable for input to multiple valuation models.
CTC has expertise in developing parallel tools such as the Cornell Multi-Task Toolbox for MATLAB (CMTM). CTC is working with leading U.S. finance industry firms on optimization and financial analytics at the Financial Industry Solutions Center (FISC-NY) ( http://www.fisc-ny.com ) in Manhattan and at the Cornell Theory Center in Ithaca, NY ( http://www.tc.cornell.edu ).
TG Information Network and SGI are opening a Financial Industry Solutions Center (FISC-Japan) in Aoyama, downtown Tokyo on December 15. TGINet and CTC plan to provide third party clients from the Asian securities and banking industries with financial tool development, training and consulting services.