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Article Dans Une Revue Concurrency and Computation: Practice and Experience Année : 2014

Using Premia and Nsp for Constructing a Risk Management Benchmark for Testing Parallel Architecture

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.
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Dates et versions

hal-00447845 , version 1 (16-01-2010)
hal-00447845 , version 2 (21-05-2012)

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Jean-Philippe Chancelier, Bernard Lapeyre, Jérôme Lelong. Using Premia and Nsp for Constructing a Risk Management Benchmark for Testing Parallel Architecture. Concurrency and Computation: Practice and Experience, 2014, 26 (9), pp.1654-1665. ⟨10.1002/cpe.2893⟩. ⟨hal-00447845v2⟩
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