HIPERFIT

Publications

  • Troels Henriksen and Martin Elsman. Towards Size-Dependent Types for Array Programming. In Proceedings of the 8th ACM SIGPLAN International Workshop on Libraries, Languages and Compilers for Array Programming (ARRAY ‘21). Virtual Event. June, 2021. PDF.

  • Cosmin E. Oancea and Wojciech M. Pawlak, Re-Write Rules for Flattening in Fast Memory the Parallelism of Hull-White Trinomial Pricing, Technical Report, 2021, PDF. (This is the companion document to the ARRAY ‘21 article.)

  • Martin Elsman and Ken Friis Larsen. Efficient Translation of Certain Irregular Data-Parallel Array Comprehensions (Extended Abstract). In Draft Proceedings of the 21st International Symposium on Trends in Functional Programming (TFP ‘20). Krakow, Poland. February 2020. PDF.

  • Wojciech Pawlak, Martin Elsman, and Cosmin Oancea. A Functional Approach to Accelerating Monte Carlo based American Option Pricing. In 31st symposium on Implementation and Application of Functional Languages (IFL ‘19). Singapore. September, 2019.

  • Wojciech Pawlak, Martin Elsman, and Cosmin Oancea. Extended Abstract: A Functional Approach to Accelerating Monte Carlo based American Option Pricing. Presented at the 8th ACM SIGPLAN International Workshop on Functional High-Performance and Numerical Computing (FHPNC ‘19). Berlin, Germany. August, 2019. PDF.

  • Duc Minh Tran, Troels Henriksen, and Martin Elsman. Compositional Deep Learning in Futhark. In Proceedings of the 8th ACM SIGPLAN International Workshop on Functional High-Performance and Numerical Computing (FHPNC ‘19). Berlin, Germany. August, 2019. PDF.

  • Martin Elsman, Troels Henriksen, and Niels G. W. Serup. Data-Parallel Flattening by Expansion. In Proceedings of the 6th ACM SIGPLAN International Workshop on Libraries, Languages and Compilers for Array Programming (ARRAY ‘19). Phoenix, AZ, USA. June, 2019. PDF.

  • Troels Henriksen, Frederik Thorøe, Martin Elsman, and Cosmin Oancea. Incremental Flattening for Nested Data Parallelism. In Proceedings of the 24th Symposium on Principles and Practice of Parallel Programming (PPoPP ‘19). Washington, DC, USA. February 2019. PDF.

  • Martin Elsman, Troels Henriksen, and Cosmin Oancea. Parallel Programming in Futhark. Edition 0.8. Department of Computer Science, University of Copenhagen. November 2018. pdf, bibtex, latest-pdf, latest-html.

  • Troels Henriksen, Martin Elsman, and Cosmin E. Oancea. Modular Acceleration: Tricky Cases of Functional High-Performance Computing. In Proceedings of the 6th ACM SIGPLAN workshop on Functional High-Performance Computing (FHPC ‘18). St. Louis, Missouri, USA. September 2018. PDF.

  • Martin Elsman, Troels Henriksen, Danil Annenkov, Cosmin E. Oancea. Static Interpretation of Higher-Order Modules in Futhark. In Proceedings of the 2018 ACM SIGPLAN International Conference on Functional Programming (ICFP’18). St. Louis, Missouri, USA. September 2018. PDF.

  • Danil Annenkov and Martin Elsman. Certified Compilation of Financial Contracts. In Proceedings of the 20th International Symposium on Principles and Practice of Declarative Programming (PPDP’18). Frankfurt am Main, Germany. September 2018. PDF.

  • Anders Kiel Hovgaard, Troels Henriksen, and Martin Elsman. High-Performance Defunctionalisation in Futhark. In Trends in Functional Programming (TFP ‘18). Gothenburg, Sweden. June 2018. PDF.

  • Benjamin Egelund-Müller, Martin Elsman, Fritz Henglein, and Omri Ross. Automated Execution of Financial Contracts on Blockchains. In Journal of Business and Information Systems Engineering (BISE). Nov 2017. Online.

  • Rasmus W. Larsen and Troels Henriksen. Strategies for Regular Segmented Reductions on GPU. In Proceedings of the 5th ACM SIGPLAN workshop on Functional High-Performance Computing (FHPC ‘17). Oxford, UK. September, 2017. pdf.

  • Troels Henriksen, Niels G. W. Serup, Martin Elsman, Fritz Henglein, and Cosmin Oancea. Futhark: Purely Functional GPU-programming with Nested Parallelism and In-place Array Updates. In Proceedings of the ACM International Conference on Programming Language Design and Implementation (PLDI’ 17). June 2017. Barcelona. pdf.

  • Maj-Britt Nordfang and Mogens Steffensen. Portfolio Optimization and Mortgage Choice. In Journal on Risk Financial Management. 2017, 10, 1. pdf.

  • Maj-Britt Nordfang. What Should You Pay to Cap your ARM?—A Note on Capped Adjustable Rate Mortgages. In Int. J. Financial Stud. 2017, 5, 10.

  • Olga Pearce, Hadia Ahmed, Rasmus W. Larsen, and David F. Richards. Enabling Work Migration in CoMD to Study Dynamic Load Imbalance Solutions. In Proceedings of 7th International Workshop on Performance Modeling, Benchmarking and Simulation of High Performance Computing Systems (PMBS ‘16). Salt Lake City, Utah, USA. November, 2016. pdf.

  • Danil Annenkov and Martin Elsman. Towards Certified Compilation of Financial Contracts. In Proceedings of the 28th Nordic Workshop on Programming Theory (NWPT ‘16). Aalborg, DK. November, 2016. pdf.

  • Frederik M. Madsen and Andrzej Filinski. Streaming nested data parallelism on multicores. In Proceedings of the 5th ACM SIGPLAN workshop on Functional High-Performance Computing (FHPC ‘16). Nara, Japan. September, 2016. pdf.

  • Martin Dybdal, Martin Elsman, Bo Joel Svensson, and Mary Sheeran. Low-level Functional GPU Programming for Parallel Algorithms. In Proceedings of the 5th ACM SIGPLAN workshop on Functional High-Performance Computing (FHPC ‘16). Nara, Japan. September, 2016. (Preliminary version appeared at CPC ‘16). pdf.

  • Troels Henriksen, Martin Dybdal, Henrik Urms, Anna Sofie Kiehn, Daniel Gavin, Hjalte Abelskov, Martin Elsman, and Cosmin Oancea. APL on GPUs - A TAIL from the Past, Scribbled in Futhark. In Proceedings of the 5th ACM SIGPLAN workshop on Functional High-Performance Computing (FHPC ‘16). Nara, Japan. September, 2016. pdf.

  • Christian Andreetta, Vivien Bégot, Jost Berthold, Martin Elsman, Fritz Henglein, Troels Henriksen, Maj-Britt Nordfang, and Cosmin E. Oancea. FinPar: A Parallel Financial Benchmark. In ACM Transactions on Architecture and Code Optimization (TACO). Volume 13, Issue 2, Article 18. 27 pages. June, 2016. DOI. (Preliminary version appeared at CPC ‘15).

  • Troels Henriksen, Ken Friis Larsen, and Cosmin E. Oancea. Design and GPGPU Performance of Futhark’s Redomap Construct. In Proceedings of the 3rd ACM SIGPLAN International Workshop on Libraries, Languages and Compilers for Array Programming (ARRAY ‘16). Santa Barbara, California, USA. June, 2016. pdf.

  • Rolf Poulsen. Hedge Funds Don’t Hedge - And 50-Odd Other Odd Things in Finance. In Wilmott Magazine. March, 2016.

  • Simon Ellersgaard Nielsen, Martin Jönsson, and Rolf Poulsen. The Fundamental Theorem of Derivative Trading: Exposition, Extension, and Experiments. In Quantitative Finance. February, 2016.

  • Cosmin E. Oancea and Lawrence Rauchwerger. Scalable conditional induction variables (CIV) analysis. In Proceedings of the 13th Annual IEEE/ACM International Symposium on Code Generation and Optimization (CGO ‘15). IEEE Computer Society, Washington, DC, USA, 213-224. February 2015. pdf.

  • Tao Zou, Ronan Le Bras, Marcos Vaz Salles, Alan Demers, Johannes Gehrke. ClouDiA: A Deployment Advisor for Public Clouds. In The VLDB Journal 24(5): 633-653, 2015. Special Issue on the Best Papers of VLDB 2013. pdf.

  • Michael Hanke, Rolf Poulsen, and Alex Weissensteiner. Where would the EUR/CHF exchange rate be without the SNB’s minimum exchange rate policy? In Journal of Futures Markets. Volume 35(12), pp 1103–1116, December, 2015.

  • Frederik Meisner Madsen, Robert Clifton-Everest, Manuel Chakravarty, and Gabriele Keller. Functional Array Streams. In Proceedings of the 4th ACM SIGPLAN Workshop on Functional High-Performance Computing (FHPC ‘15). Vancouver, Canada. September, 2015.

  • Patrick Bahr, Jost Berthold, and Martin Elsman. Certified Symbolic Management of Financial Multi-Party Contracts. In Proceedings of the ACM International Conference on Functional Programming (ICFP ‘15). Vancouver, Canada. September, 2015. pdf.

  • Michael Budde, Martin Dybdal, and Martin Elsman. Compiling APL to Accelerate through a Typed Array Intermediate Language. In Proceedings of the 2nd ACM SIGPLAN International Workshop on Libraries, Languages and Compilers for Array Programming (ARRAY ‘15). Portland, Oregon, USA. June, 2015. pdf.

  • Jan Palczewski, Rolf Poulsen, Klaus Reiner Schenk-Hoppe, and Huamao Wang. Optimal Portfolio Strategies under Transaction Costs: Numerical Solutions for State-Dependent Drift. In European Journal of Operational Research. Volume 243(3), pp 921-931. June, 2015.

  • Christian Andreetta, Vivien Begot, Jost Berthold, Martin Elsman, Troels Henriksen, Maj-Britt Nordfang, and Cosmin Oancea. A Financial Benchmark for GPGPU Compilation. DIKU Technical Report no 2015/02. ISSN 0107-8283. Extended version of CPC ‘15 paper. January, 2015. pdf.

  • Cosmin Oancea, Jost Berthold, Martin Elsman, and Christian Andreetta. A Financial Benchmark for GPGPU Compilation. In 18th International Workshop on Compilers for Parallel Computing (CPC ‘15). January, 2015.

  • Kenneth Bruhn, Per Linnemann and Mogens Steffensen. A Comparison of Modern Investment-Linked Pension Savings Products. In Annals of Actuarial Science. 2014. To appear.

  • Morten Tolver Kronborg and Mogens Steffensen. Optimal Consumption, Investment and Life insurance with Surrender Option Guarantee. In Scandinavian Actuarial Journal. DOI:10.1080/03461238.2013.775964. 2014.

  • Patrick Bahr, Jost Berthold, and Martin Elsman. Towards Certified Management of Financial Contracts. In Proceedings of the 26th Nordic Workshop on Programming Theory (NWPT ‘14). October, 2014. pdf.

  • Vivek Shah. Transactional Partitioning: A New Abstraction for Main-Memory Databases. In Proceedings of VLDB PhD Workshop. 2014. Supervised by Marcos Vaz Salles. HIPERFIT DIKU Associates.

  • Agnieszka Karolina Konicz, David Pisinger, Kourosh Marjani Rasmussen, and Mogens Steffensen. A combined stochastic programming and optimal control approach to personal finance and pensions. In OR Spectrum. DOI:10.1007/s00291-014-0375-6. 2014.

  • Troels Henriksen, Martin Elsman, and Cosmin E. Oancea. Size Slicing - A Hybrid Approach to Size Inference in Futhark. In Proceedings of the 3rd ACM SIGPLAN workshop on Functional High-Performance Computing (FHPC ‘14). Guthenburg, SE. September, 2014. pdf.

  • Troels Henriksen and Cosmin E. Oancea. Bounds Checking: An Instance of Hybrid Analysis. In ACM SIGPLAN International Workshop on Libraries, Languages and Compilers for Array Programming (ARRAY ‘14). Edinburgh, UK. June, 2014. pdf.

  • Martin Elsman and Martin Dybdal. Compiling a Subset of APL Into a Typed Intermediate Language. In ACM SIGPLAN International Workshop on Libraries, Languages and Compilers for Array Programming (ARRAY ‘14). Edinburgh, UK. June, 2014. pdf, bibtex.

  • Weifeng Liu and Brian Vinter. An Efficient GPU General Sparse Matrix-Matrix Multiplication for Irregular Data. In 2014 IEEE 28th International Symposium on Parallel Distributed Processing (IPDPS ‘14). May, 2014. pdf. slides.

  • Weifeng Liu and Brian Vinter. Ad-heap: An Efficient Heap Data Structure for Asymmetric Multicore Processors. In Proceedings of Workshop on General Purpose Processing Using GPUs (GPGPU-7). March, 2014. Salt Lake City, UT, USA. pdf. slides.

  • Kourosh M. Rasmussen, Claus A. Madsen, and Rolf Poulsen. Can Households Benefit from Stochastic Programming Models? An Empirical Study of Mortgage Refinancing in Denmark. In Computational Management Science. Volume 11, Issue 1-2, pp 5-23. January, 2014. pdf.

  • Martin Elsman and Anders Schack-Nielsen. Typelets - A Rule-Based Evaluation Model for Dynamic, Statically Typed User Interfaces. In International Symposium on Practical Aspects of Declarative Languages (PADL ‘14). San Diego, USA. January, 2014. pdf.

  • Troels Henriksen and Cosmin E. Oancea. A T2 Graph-Reduction Approach To Fusion. In 2nd ACM SIGPLAN Workshop on Functional High-Performance Computing. Boston, Massachusetts. September, 2013. pdf.

  • Frederik M. Madsen and Andrzej Filinski. Towards a Streaming Model for Nested Data Parallelism. In 2nd ACM SIGPLAN Workshop on Functional High-Performance Computing. Boston, Massachusetts. September, 2013. pdf.

  • Marcus C. Christiansen and Mogens Steffensen. Deterministic mean-variance-optimal consumption and investment. In Stochastics, an International Journal of Probability and Stochastic Processes. 85(4): 620-636. August, 2013.

  • Marcus C. Christiansen and Mogens Steffensen. Safe-Side Scenarios for Financial and Biometrical Risk. In ASTIN Bulletin. 43(3): 323-357. July, 2013.

  • Kenneth Bruhn and Mogens Steffensen. Optimal Smooth Consumption and Annuity Design. In Journal of Banking and Finance. 37(8): 2693–2701. 2013.

  • Holger Kraft and Mogens Steffensen. A Dynamic Programming Approach to Constrained Portfolios. In European Journal of Operational Research. 229(2): 453–461. 2013.

  • Mads R. B. Kristensen, Simon A. F. Lund, Troels Blum, Kenneth Skovhede, and Brian Vinter. Bohrium: Unmodified NumPy Code on CPU, GPU, and Cluster. In Workshop on Python for High Performance and Scientific Computing (PyHPC ‘2013). 2013. pdf.

  • Simon A. F. Lund, Kenneth Skovhede, Mads R. B. Kristensen, and Brian Vinter. Doubling the Performance of Python/NumPy with less than 100 SLOC. In Workshop on Python for High Performance and Scientific Computing (PyHPC ‘2013). 2013. pdf.

  • Mischa Dieterle, Thomas Horstmeyer, Jost Berthold, and Rita Loogen. Iterating Skeletons - Structured Parallelism by Composition. In 24th Symposium on the Implementation and Application of Functional Languages (IFL 2012). Selected for publication in LNCS revised papers, Springer Verlag. 2013.

  • Kourosh M. Rasmussen, Rolf Poulsen, and Søren Kyhl. Risikospredning med tolagsbelåning. In Finans/Invest, Issue 312. December, 2012.

  • Antonov, L., Andreetta, C., Hamelryck, T. An efficient parallel GPU evaluation of small angle X-ray scattering profiles. In 5th Int’l Joint Conference on Biomedical Engineering Systems and Technologies (BIOSTEC 2012). Algarve, Portugal. 2012.

  • Antonov, LD., Andreetta, C., Hamelryck, T. Parallel GPGPU evaluation of small angle X-ray scattering profiles in a Markov chain Monte Carlo framework. In Lecture notes in computer science: Communications in Computer and Information Science, Springer-Verlag. 2012.

  • Cosmin E. Oancea, Christian Andreetta, Jost Berthold, Alain Frisch, and Fritz Henglein. Financial software on GPUs: between Haskell and Fortran. In Proceedings of the 1st ACM SIGPLAN workshop on Functional high-performance computing (FHPC ‘12). Copenhagen 2012. pdf.

  • Michael Flænø Werk, Joakim Ahnfelt-Rønne, and Ken Friis Larsen. An embedded DSL for stochastic processes. In Proceedings of the 1st ACM SIGPLAN workshop on Functional high-performance computing (FHPC ‘12). Copenhagen. 2012. pdf. Video.

  • Anne Marie Boiden Pedersen, Alex Weissensteiner, and Rolf Poulsen. Financial planning for young households. In Annals of Operations Research. 2013, vol. 205(1), pp. 55-76. pdf.

  • Cosmin E. Oancea and Lawrence Rauchwerger. Logical Inference Techniques for Loop Parallelization. In Proceedings of International Conference on Programming Language Design and Implementation (PLDI’ 12). 2012. China. pdf.

  • Jost Berthold, Andrzej Filinski, Fritz Henglein, Ken Friis Larsen, Mogens Steffensen and Brian Vinter. Functional High Performance Financial IT – The HIPERFIT Research Center in Copenhagen. In Trends in Functional Programming (TFP ‘11). Revised Selected Papers. LNCS 7193, Springer. 2012. pdf.

  • Michael Werk and Joakim Ahnfelt-Rønne. Pricing composable contracts on the GP-GPU. Master’s thesis, Department of Computer Science, University of Copenhagen (DIKU). August, 2011. pdf.

  • Mogens Steffensen. On the Theory of Continuous-Time Recursive Utility. Online manuscript at SSRN. November, 2011.

  • Morten Tolver Kronborg and Mogens Steffensen. Inconsistent Investment and Consumption Problems. Online manuscript at SSRN. In Applied Mathematics and Optimization. DOI:10.1007/s00245-014-9267-z. March 2011.

  • HIPERFIT Management. Functional High-Performance Computing for Financial Information Technology. Project Application, 2010.

PhD Theses

  • Wojciech Michal Pawlak. Accelerated Financial Algorithms - Derivative Pricing and Risk Management Applications. PhD thesis. DIKU, University of Copenhagen. Industrial PhD Project in collaboration with SimCorp A/S. January, 2021. pdf.

  • Danil Annenkov. Adventures in Formalisation: Financial Contracts, Modules, and Two-Level Type Theory. PhD thesis. HIPERFIT, DIKU, University of Copenhagen. Revised Version. April, 2018. pdf.

  • Troels Henriksen. Design and Implementation of the Futhark Programming Language. PhD thesis. HIPERFIT, DIKU, University of Copenhagen. November, 2017. pdf.

  • Martin Dybdal. Array Abstractions for GPU Programming. PhD thesis. HIPERFIT, DIKU, University of Copenhagen. August, 2017. pdf.

  • Maj-Britt Nordfang. Preferences, Behaviour and the Design of Financial Contracts. PhD thesis. HIPERFIT, Math, University of Copenhagen. June, 2017.

  • Frederik Meisner Madsen. Streaming for Functional Data-Parallel Languages. PhD thesis. HIPERFIT, DIKU, University of Copenhagen. September, 2016. pdf.

  • Lykke Rasmussen. Computational Finance - on the search for performance. PhD thesis. HIPERFIT, Math, University of Copenhagen. March, 2016. pdf.

  • Simon Ellersgaard Nielsen. Essays on Rational Portfolio Theory. PhD thesis. Math, University of Copenhagen. February, 2016.

  • Troels Blum. Automatic Parallelization of Scientific Applications. PhD thesis. HIPERFIT, NBI, University of Copenhagen. January, 2016.

  • Simon A. F. Lund. A High Performance Backend for Array-Oriented Programming on Next-Generation Processing Units. PhD thesis. HIPERFIT, NBI, University of Copenhagen. September, 2015. pdf.

MSc Theses, BSc Theses, and Student Project Reports

  • Kristian Knudsen Olesen. Extracting Certified Futhark Code from Coq. BSc thesis. Department of Computer Science, University of Copenhagen. November 1, 2021. pdf.

  • Robert Schenck. Sum types in Futhark. MSc thesis. Department of Computer Science, University of Copenhagen. January, 2019. pdf.

  • Henriks Urms and Anna Sofie Kiehn. Refinement types in Futhark. MSc thesis. Department of Computer Science, University of Copenhagen. September, 2019. pdf.

  • Frederik Bøgelund Larsen. Data-Parallel implementation of Monte Carlo Based Financial Risk Calculations. MSc thesis. Department of Computer Science, University of Copenhagen. August, 2018. pdf.

  • Anders Kiel Hovgaard. Higher-order functions for a high-performance programming language for GPUs. MSc thesis. Department of Computer Science, University of Copenhagen. May, 2018. pdf.

  • Niels G. W. Serup. Memory Block Merging in Futhark. MSc thesis. Department of Computer Science, University of Copenhagen. November, 2017. pdf.

  • Dandan Xue. Formalizing the Implementation of Streaming NESL. MSc thesis. Department of Computer Science, University of Copenhagen. November, 2017. pdf.

  • Christian Kjær Larsen. Formalization of Array Combinators and their Fusion Rules in Coq. BSc thesis. Department of Computer Science, University of Copenhagen. June, 2017. pdf.

  • Rasmus Wriedt Larsen. Generating Efficient Code for Futhark’s Segmented Redomap. MSc thesis. Department of Computer Science, University of Copenhagen. March, 2017. pdf.

  • Johannes de Fine Licht. Modeling and Implementing High Performance Programs on FPGA. MSc thesis. Department of Computer Science, University of Copenhagen. August, 2016. pdf.

  • Niels G. W. Serup. Extending Futhark with a write construct. MSc project. Department of Computer Science, University of Copenhagen. June, 2016. pdf.

  • Anna Sofie Kiehn and Henriks Urms. Compiling TAIL to Futhark–An adventure in compiling functional data-parallel constructs. BSc thesis. Department of Computer Science, University of Copenhagen. June 8, 2015. pdf.

  • Michael Budde. Compiling APL to Accelerate Through a Typed IL. MSc project. Department of Computer Science, University of Copenhagen. November, 2014. pdf.

  • Marco Eilers. Multireduce and Multiscan on Modern GPUs. MSc thesis. Department of Computer Science, University of Copenhagen. March, 2014. pdf.

  • Troels Henriksen. Exploiting Functional Invariants to Optimise Parallelism: a dataflow approach. MSc thesis. Department of Computer Science, University of Copenhagen. February, 2014. pdf.

  • Frederik M. Madsen. A Streaming Model for Nested Data Parallelism. MSc thesis. Department of Computer Science, University of Copenhagen. March, 2013. pdf.

  • Esben Bistrup Halvorsen. Calculating Key Ratios for Financial Products using Automatic Differentiation and Monte Carlo Simulation. DIKU MSc Student Project. December, 2012. pdf.

  • Frederik M. Madsen. Flattening Nested Data Parallelism. DIKU MSc Student Project. February, 2012. pdf.

  • Joakim Ahnfelt-Rønne and Michael Flænø Werk. Pricing composable contracts on the GP-GPU. MSc thesis. Department of Computer Science, University of Copenhagen. August, 2011. pdf.

  • Martin Dybdal. An OpenCL back-end for Accelerate. DIKU MSc Student Project. May, 2011. pdf. POSTER.