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

Résultats de recherche: Le chapitre dans un livre, un rapport, une anthologie ou une collection › Contribution à une conférence › Revue par des pairs

Résumé

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.

langue originale	Anglais
titre	IPDPS 2009 - Proceedings of the 2009 IEEE International Parallel and Distributed Processing Symposium
Editeur	IEEE Computer Society
ISBN (imprimé)	9781424437504
Les DOIs	https://doi.org/10.1109/IPDPS.2009.5161144
état	Publié - 1 janv. 2009
Evénement	23rd IEEE International Parallel and Distributed Processing Symposium, IPDPS 2009 - Rome, Italie Durée: 23 mai 2009 → 29 mai 2009

Série de publications

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

Une conférence

Une conférence	23rd IEEE International Parallel and Distributed Processing Symposium, IPDPS 2009
Pays/Territoire	Italie
La ville	Rome
période	23/05/09 → 29/05/09

Accès au document

10.1109/IPDPS.2009.5161144

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Chancelier, J. P., Lapeyre, B., & Lelong, J. (2009). Using premia and Nsp for constructing a risk management benchmark for testing parallel architecture. Dans 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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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.",

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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. Dans 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, Italie, 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).

Résultats de recherche: Le chapitre dans un livre, un rapport, une anthologie ou une collection › Contribution à une conférence › Revue par des pairs

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Chancelier JP, Lapeyre B, Lelong J. Using premia and Nsp for constructing a risk management benchmark for testing parallel architecture. Dans 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

Résumé

Série de publications

Une conférence

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