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

Jean-Philippe Chancelier (), Bernard Lapeyre () and Jérôme Lelong ()
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Jean-Philippe Chancelier: CERMICS - Centre d'Enseignement et de Recherche en Mathématiques et Calcul Scientifique - ENPC - École nationale des ponts et chaussées
Bernard Lapeyre: CERMICS - Centre d'Enseignement et de Recherche en Mathématiques et Calcul Scientifique - ENPC - École nationale des ponts et chaussées
Jérôme Lelong: MATHRISK - Mathematical Risk handling - Inria Paris-Rocquencourt - Inria - Institut National de Recherche en Informatique et en Automatique - UPEM - Université Paris-Est Marne-la-Vallée - ENPC - École nationale des ponts et chaussées, SAM - Statistique Apprentissage Machine - LJK - Laboratoire Jean Kuntzmann - UPMF - Université Pierre Mendès France - Grenoble 2 - UJF - Université Joseph Fourier - Grenoble 1 - Grenoble INP - Institut polytechnique de Grenoble - Grenoble Institute of Technology - CNRS - Centre National de la Recherche Scientifique

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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.

Keywords: Premia; Mpi; Nsp (search for similar items in EconPapers)
Date: 2014-06-25
New Economics Papers: this item is included in nep-cmp and nep-rmg
Note: View the original document on HAL open archive server: https://hal.science/hal-00447845v2
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Published in Concurrency and Computation: Practice and Experience, 2014, 26 (9), pp.1654-1665. ⟨10.1002/cpe.2893⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00447845

DOI: 10.1002/cpe.2893

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