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

  • 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. NBI, University of Copenhagen. January 2016.

  • 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.

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

  • 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.

Student Project Reports

  • 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.