Data Analytics and Maxeler's Technology

Project: Research project

Project Details


Led by Diego Klabjan, Professor and Director, Master of Science in Analytics at the McCormick School of Engineering, faculty and students will study valuing American call options. Future prices of assets need to be simulated and for each simulated case an optimal exercise year computed. In the first phase Northwestern will adapt the underlying algorithm to the Maxeler’s technology and perform a computational study. In the subsequent phase Northwestern will consider a portfolio of American options and design an algorithm based on Maxeler’s technology to find the best weights of the options available. The presence of several options further complicates the problem and makes the underlying methodology even more intriguing and thus in need of a scalable and robust algorithm that can run instantaneously. Designing an algorithm fully exploring Maxeler’s technology is the main focus of this phase. In addition to this research effort, the Maxeler’s technology will be introduced to the students in the Master of Science in Analytics program. Every year there is a hand full of students interested in the finance sector. The technology will be highlighted in the course taught by Professor Klabjan which is a required course. Students interested in it will then be able to engage in a subsequent project and with sufficient interest from the students an elective course developed. The simulation and optimization of American options will be executed during the first 6 months of the planned timespan, while the remaining six months will be devoted to the options portfolio effort. The course introducing Maxeler to the students will be taught in the fall of 2013 and then the students in the cohort will be able to work on project during the year of 2014.
Effective start/end date9/1/138/31/15


  • CME Group Foundation (Letter 8/9/13)


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