Intel® Parallel Computing Center at Northwestern University

Principal Investigators:

Vadim Linetsky
Orrington Lunt Professor and Professor of Industrial Engineering and Management Sciences at McCormick School of Engineering and Applied Science at Northwestern University

He holds a PhD in mathematical and theoretical physics from the P.N. Lebedev Physics Institute of the Russian Academy of Sciences. His research interests are in mathematical finance and stochastic modeling. He is currently co-Editor of Mathematical Finance and Associated Editor of Management Science, past Associate Editor of Mathematics of Operations Research and Operations Research and past Area Editor of Operations Research Letters. He has published widely on mathematical models of financial markets.

Diego Klabjan
Professor at Northwestern University, Department of Industrial Engineering and Management Sciences
Founding Director, Master of Science in Analytics

After obtaining his doctorate from the School of Industrial and Systems Engineering of the Georgia Institute of Technology in 1999, in the same year he joined the University of Illinois at Urbana-Champaign. In 2007 he became an associate professor at Northwestern. His research is focused on analytics-based algorithms and analyses with concentration in transportation, sustainability, and finance. Professor Klabjan has led projects with large companies such as FedEx Express, BNSF, General Motors, United Continental, and many others, and he is also assisting numerous start-ups with their analytics needs. He is also a founder of Opex Analytics LLC.

Jeremy Staum
Associate professor in the Department of Industrial Engineering and Management Sciences

His research is in Monte Carlo simulation and financial engineering, especially risk management. He earned a doctorate in management science from Columbia University, a master's degree in statistics from Stanford University, and a bachelor's degree in mathematics from the University of Chicago. He and his co-authors won the 2013 Outstanding Simulation Publication Award from the Institute of Operations Research and Management Science's Simulation Society.

Nikos Hardavellas
Assistant Professor of Electrical Engineering and Computer Science at Northwestern University

His research is in parallel computer architecture and systems, particularly on memory systems, dark silicon, optical interconnects, approximate computing, and massively-parallel software architectures. Prior to joining Northwestern, he contributed to several generations of Alpha processors and high-end multiprocessor servers at DEC, Compaq and HP. He received an IEEE Micro Top Picks award in 2009, a Best Demonstration Award in ICDE 2006, and a Technical Award for Contributions to the Alpha Microprocessor in 2000. Nikos holds a Ph.D. in Computer Science from Carnegie Mellon University.

Description:

The Intel® Parallel Computing Center (Intel® PCC) at Northwestern was established in 2014 by the Department of Industrial Engineering and Management Sciences (IEMS) and the Department of Electrical Engineering and Computer Science (EECS) to develop novel high performance parallel computing algorithms in financial engineering and computational finance targeting the Xeon and Xeon Phi architectures, and to propose novel processor architecture designs and software implementations that will allow additional leaps in performance and energy efficiency for this class of computational workloads. Specific computational finance research projects to be studied include algorithmic options trading strategies, option portfolio allocation, interest rate modeling, options pricing, nested simulation in financial risk management, green simulation and updating meta-models with target accuracy.

Related websites:

http://www.eecs.northwestern.edu/intel-parallel-computing-center

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