complex financial problem

#4 09-14-2006, 05:41 PM

Ronin wrote:
- quote -

> > But if you want a complex financial problem, figure out how the Social
> > Security System can survive long enough for my 21 year old daughter to
> > collect.
> Could you further, describe this problem?
> Ronin.

The suggestion was not meant seriously. The problem is not
computational but political.

#3 09-14-2006, 03:19 PM

- quote -

> But if you want a complex financial problem, figure out how the Social
> Security System can survive long enough for my 21 year old daughter to
> collect.

Could you further, describe this problem?
Ronin.

#2 09-14-2006, 09:04 AM

Ronin wrote:
- quote -

> Im looking for a complex financial problem?
> Description
> 1) It should be time consuming.
> Say I submit the problem at night, the computational period on
> Mainframe Server or any powerful machine is around 3-10+ hours.
> 2) Every Finance Manager is looking for an answer to such a problem (
> Its a day-to-day or common problem)
> References to web-sites providing information would be great !!!!
> Thanks in advance.

> From a computer performance point of view this is a humorous question.
Most techies would laugh at the idea of a Mainframe Server. Servers

are not mainframes although as a disparaging joke I have heard the
mainframe referred to as a large data server. 3-10 hours wall clock
time? What model computer? How much memory? Need some DASD? And why
at night? Does the computer run any differently at night? Maybe it
went to night school.

But if you want a complex financial problem, figure out how the Social
Security System can survive long enough for my 21 year old daughter to
collect.

#1 09-13-2006, 03:51 PM

Thanks a ton. I will visit this forums.

beliavsky[at]aol.com wrote:
- quote -

> Ronin wrote:
> > Im looking for a complex financial problem?
> > Description
> > > 1) It should be time consuming.
> > Say I submit the problem at night, the computational period on
> > Mainframe Server or any powerful machine is around 3-10+ hours.
> > > 2) Every Finance Manager is looking for an answer to such a problem (
> > Its a day-to-day or common problem)
> Pricing exotic financial derivatives can require much computing time,
> depending on the complexity of the model and the desired accuracy. The
> accuracy of Monte Carlo algorithms increases only with the square root
> of CPU time. You could read an interview of Thomas Coleman of the
> Cornell Theory Center at
> http://www.fenews.com/fen27/ColemanInterview.html and browse The
> Journal of Computational Finance at
> http://www.thejournalofcomputationalfinance.com/ .
> Single-period mean variance portfolio optimization in the absence of
> transaction costs, with known expected returns and covariances, runs
> very quickly on modern PCs. When
> (1) transaction costs,
> (2) taxes
> (3) multiple time periods
> (4) uncertainty about expected returns and covariances
> are introduced, time-consuming simulations are needed. Such problems
> are discussed in the book
> Financial Optimization
> by Stavros A. Zenios
> Cambridge UP (1996)
> Backtesting quantitative stock selection strategies on thousands of
> stocks can take hours, especially if trading can occur intraday.
> Probably a better forum than this one for your question is the one at
> Wilmott, http://www.wilmott.com/ .

======================================= MODERATOR'S COMMENT:
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09-13-2006, 12:25 PM

Ronin wrote:
- quote -

> Im looking for a complex financial problem?
> Description
> 1) It should be time consuming.
> Say I submit the problem at night, the computational period on
> Mainframe Server or any powerful machine is around 3-10+ hours.
> 2) Every Finance Manager is looking for an answer to such a problem (
> Its a day-to-day or common problem)

Pricing exotic financial derivatives can require much computing time,
depending on the complexity of the model and the desired accuracy. The
accuracy of Monte Carlo algorithms increases only with the square root
of CPU time. You could read an interview of Thomas Coleman of the
Cornell Theory Center at
http://www.fenews.com/fen27/ColemanInterview.html and browse The
Journal of Computational Finance at
http://www.thejournalofcomputationalfinance.com/ .

Single-period mean variance portfolio optimization in the absence of
transaction costs, with known expected returns and covariances, runs
very quickly on modern PCs. When
(1) transaction costs,
(2) taxes
(3) multiple time periods
(4) uncertainty about expected returns and covariances

are introduced, time-consuming simulations are needed. Such problems
are discussed in the book

Financial Optimization
by Stavros A. Zenios
Cambridge UP (1996)

Backtesting quantitative stock selection strategies on thousands of
stocks can take hours, especially if trading can occur intraday.

Probably a better forum than this one for your question is the one at
Wilmott, http://www.wilmott.com/ .

#-1 09-13-2006, 09:04 AM

Im looking for a complex financial problem?
Description

1) It should be time consuming.
Say I submit the problem at night, the computational period on
Mainframe Server or any powerful machine is around 3-10+ hours.

2) Every Finance Manager is looking for an answer to such a problem (
Its a day-to-day or common problem)

References to web-sites providing information would be great !!!!
Thanks in advance.

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