Main

Prof Juho Kanniainen's pages


Recent Highlights


https://www.amazon.com/High-Performance-Computing-Finance-Solutions-Mathematics/dp/1482299666

New book! 
High-Performance Computing in Finance: Problems, Methods, and Solutions 
Chapman and Hall/CRC Financial Mathematics Series

Edited by M. Dempster, J. Kanniainen, J. Keane, and E. Vynckier 








Finance Research Letters
"Facebook drives behavior of passive households in stock markets"  [Read more]












Review of Finance
"Jump and Volatility Dynamics for the S&P 500: Evidence for Infinite-Activity Jumps with Non-Affine Volatility Dynamics from Stock and Option Markets" [Read more]









Finance Research Letters
"Limit Order Books and Liquidity around Scheduled and Non-Scheduled Announcements: Empirical Evidence from NASDAQ Nordic" 

What happens in limit order books around announcements? [Read more]









Journal of Banking and Finance
"Estimating and Using GARCH Models with VIX Data for Option Valuation"

Use VIX to improve the performance of option pricing models [Read more]








Digital Signal Processing
"A Fast Universal Self-tuned Sampler within Gibbs sampling"

A new self-tuned and extremely efficient MCMC algorithm [Read more]









Project Highlights



BigDataFinance EU project: New quantitative and econometric methods for empirical finance and risk management with large and complex datasets by exploiting big data techniques






HPCFinance EU project: At the fertile crossroads of Financial Engineering and High Performance Computing providing robust solutions to managing financial risks