Using premia and Nsp for constructing a risk management benchmark for testing parallel architecture

Jean Philippe Chancelier; Bernard Lapeyre; Jérôme Lelong

doi:10.1109/IPDPS.2009.5161144

Using premia and Nsp for constructing a risk management benchmark for testing parallel architecture

Jean Philippe Chancelier
, Bernard Lapeyre
, Jérôme Lelong

École des ponts

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

Abstract

Financial institutions have massive computations to carry out overnight which are very demanding in terms of the consumed CPU. The challenge is to price many different products on a cluster-like architecture. We have used the Premia software to valuate the financial derivatives. In this work, we explain how Premia can be embedded into Nsp, a scientific software like Matlab, to provide a powerful tool to valuate a whole portfolio. Finally, we have integrated an MPI toolbox into Nsp to enable to use Premia to solve a bunch of pricing problems on a cluster. This unified framework can then be used to test different parallel architectures.

Original language	English
Title of host publication	IPDPS 2009 - Proceedings of the 2009 IEEE International Parallel and Distributed Processing Symposium
Publisher	IEEE Computer Society
ISBN (Print)	9781424437504
DOIs	https://doi.org/10.1109/IPDPS.2009.5161144
Publication status	Published - 1 Jan 2009
Event	23rd IEEE International Parallel and Distributed Processing Symposium, IPDPS 2009 - Rome, Italy Duration: 23 May 2009 → 29 May 2009

Publication series

Name	IPDPS 2009 - Proceedings of the 2009 IEEE International Parallel and Distributed Processing Symposium

Conference

Conference	23rd IEEE International Parallel and Distributed Processing Symposium, IPDPS 2009
Country/Territory	Italy
City	Rome
Period	23/05/09 → 29/05/09

Access to Document

10.1109/IPDPS.2009.5161144

Cite this

Chancelier, J. P., Lapeyre, B., & Lelong, J. (2009). Using premia and Nsp for constructing a risk management benchmark for testing parallel architecture. In IPDPS 2009 - Proceedings of the 2009 IEEE International Parallel and Distributed Processing Symposium Article 5161144 (IPDPS 2009 - Proceedings of the 2009 IEEE International Parallel and Distributed Processing Symposium). IEEE Computer Society. https://doi.org/10.1109/IPDPS.2009.5161144

Chancelier, Jean Philippe ; Lapeyre, Bernard ; Lelong, Jérôme. / Using premia and Nsp for constructing a risk management benchmark for testing parallel architecture. IPDPS 2009 - Proceedings of the 2009 IEEE International Parallel and Distributed Processing Symposium. IEEE Computer Society, 2009. (IPDPS 2009 - Proceedings of the 2009 IEEE International Parallel and Distributed Processing Symposium).

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title = "Using premia and Nsp for constructing a risk management benchmark for testing parallel architecture",

abstract = "Financial institutions have massive computations to carry out overnight which are very demanding in terms of the consumed CPU. The challenge is to price many different products on a cluster-like architecture. We have used the Premia software to valuate the financial derivatives. In this work, we explain how Premia can be embedded into Nsp, a scientific software like Matlab, to provide a powerful tool to valuate a whole portfolio. Finally, we have integrated an MPI toolbox into Nsp to enable to use Premia to solve a bunch of pricing problems on a cluster. This unified framework can then be used to test different parallel architectures.",

author = "Chancelier, \{Jean Philippe\} and Bernard Lapeyre and J{\'e}r{\^o}me Lelong",

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doi = "10.1109/IPDPS.2009.5161144",

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Chancelier, JP, Lapeyre, B & Lelong, J 2009, Using premia and Nsp for constructing a risk management benchmark for testing parallel architecture. in IPDPS 2009 - Proceedings of the 2009 IEEE International Parallel and Distributed Processing Symposium., 5161144, IPDPS 2009 - Proceedings of the 2009 IEEE International Parallel and Distributed Processing Symposium, IEEE Computer Society, 23rd IEEE International Parallel and Distributed Processing Symposium, IPDPS 2009, Rome, Italy, 23/05/09. https://doi.org/10.1109/IPDPS.2009.5161144

Using premia and Nsp for constructing a risk management benchmark for testing parallel architecture. / Chancelier, Jean Philippe; Lapeyre, Bernard; Lelong, Jérôme.
IPDPS 2009 - Proceedings of the 2009 IEEE International Parallel and Distributed Processing Symposium. IEEE Computer Society, 2009. 5161144 (IPDPS 2009 - Proceedings of the 2009 IEEE International Parallel and Distributed Processing Symposium).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

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Chancelier JP, Lapeyre B, Lelong J. Using premia and Nsp for constructing a risk management benchmark for testing parallel architecture. In IPDPS 2009 - Proceedings of the 2009 IEEE International Parallel and Distributed Processing Symposium. IEEE Computer Society. 2009. 5161144. (IPDPS 2009 - Proceedings of the 2009 IEEE International Parallel and Distributed Processing Symposium). doi: 10.1109/IPDPS.2009.5161144

Using premia and Nsp for constructing a risk management benchmark for testing parallel architecture

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