PI: Nils Hakansson
Co-PI:Jerome Bock
The Haas School of Business is a valuable resource for our economy and society, providing expert guidance to business leaders and decision-makers in technology, trade, public policy, and other key issues. Recently, members of its faculty have served as Chair of the White House Council of Economic Advisors, Governor of the Federal Reserve Bank, Chief Economist of the FCC, and other prestigious posts. All of its diverse programs: undergraduate, full-time M.B.A., part-time M.B.A. Ph.D., and Executive Development, have been ranked in the top ten nationwide. The UC Finance faculty is at the forefront among finance faculties in the world with its combination of academic excellence, reputation, industry experience and connections.
The Haas School of Business is forming the Center for Financial Engineering and Risk Management, and the Masters in Financial Engineering (MFE) degree program, to provide research and instructional leadership in quantitative finance. The Center's facilities will mimic the technology of major commercial and investment banking research and development environments to provide faculty and students with state-of-the-art capabilities, especially in the areas of financial derivatives, financial risk management and money management. It will include systems for faculty research, a trading room simulation for student exercises (also participating in a network of trading room simulators at M.I.T., Carnegie-Mellon, and other universities), software training, and development facilities. The centerpiece of the facility will consist of high-end servers integrating real-time financial news feeds, very large historical databases, and computationally-intensive processor power. Clients will provide advanced analytic, visualization, and commercial software tools for access to the data and computational resources.
The financial community is one of the world's major markets for high-end workstations and servers. This market is largely dominated by Sun Microsystems and other vendors of powerful UNIX systems. The Center for Financial Engineering and Risk Management will provide a high-profile opportunity for demonstration of successful applications of Pentium systems in these demanding environments. Graduates of the MFE program, an intensive one year concentration in quantitative finance, will be experienced in Pentium-based simulations and products for the financial marketplace. The graduates will be placed in the major financial centers as key contributors to industry's research and development. Successful applications of the Intel products by leading faculty in Finance and the experience of our MFE graduates with this equipment will be influential in this significant market.
The Intel gift will allow the research and instructional programs of the Haas School to keep pace with, and actively participate in, the explosive growth in the mathematical and computational sophistication of the problems encountered in financial derivatives, risk management and money management. Problems include advanced numerical approximation solution techniques for stochastic differential equation systems, variance reduction techniques for high dimension Monte Carlo and quasi-Monte Carlo simulation or optimization of complex financial portfolios, globally distributed or parallel processing applications of large portfolio risk measurement and management, neural network and other AI approaches to many financial problems and advanced statistical estimation and optimization techniques. Serial programs, expertise, financial databases, and software for solution of these problems, and realistic simulation of trading environments, are already in place. The equipment will be deployed and heavily utilized for these purposes shortly after delivery, and successful migration of key compute-intensive applications from UNIX to Intel platforms should be complete within a year of delivery. After the capabilities of the desktops and servers are exhausted, parallelization on group or campus NOWs will begin.
Other research and instructional projects at The Haas School of Business identified as appropriate for consideration in this initiative include: Computational Framework for Product Management, (Jayashankar Swaminathan); Intensive Computational Approach to Real Estate Pricing, (Matthew Spiegel); Intranets for Delivery of Complex Instructional Materials, (Andrew Shogan); and Advanced Multimedia in Business Education, (Arturo Perez-Reyes).
February 1999