SuperQuant Financial Benchmark Suite for Performance Analysis of Grid Middlewares

Abhijeet Gaikwad (), Viet_Dung Doan (), Mireille Bossy (), Françoise Baude () and Frédéric Abergel ()
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Abhijeet Gaikwad: Laboratoire de Mathématiques Appliquées aux Systèmes – Ecole Centrale de Paris
Viet_Dung Doan: INRIA Sophia Antipolis - Méditerranée - Université de Nice - Sophia Antipolis – I3S CNRS
Mireille Bossy: INRIA Sophia Antipolis - Méditerranée - Université de Nice - Sophia Antipolis – I3S CNRS
Françoise Baude: INRIA Sophia Antipolis - Méditerranée - Université de Nice - Sophia Antipolis – I3S CNRS
Frédéric Abergel: Laboratoire de Mathématiques Appliquées aux Systèmes – Ecole Centrale de Paris

A chapter in Modeling, Simulation and Optimization of Complex Processes, 2012, pp 103-113 from Springer

Abstract: Abstract Pricing and hedging of higher order derivatives such as multidimensional (up to 100 underlying assets) European and first generation exotic options represent mathematically complex and computationally intensive problems. Grid computing promises to give the capability to handle such intense computations. With several Grid middleware solutions available for gridifying traditional applications, it is cumbersome to select an ideal candidate, to develop financial applications, that can cope up with time critical computational demand for complex pricing requests. In this paper we present SuperQuant Financial Benchmark Suite to evaluate and quantify the overhead imposed by a Grid middleware on throughput of the system and turnaround times for computation. This approach is a step towards producing a middleware independent, reproducible, comparable, self-sufficient and fair performance analysis of Grid middlewares. The result of such a performance analysis can be used by middleware vendors to find the bottlenecks and problems in their design and implementation of the system and by financial application developers to verify the implementation of their financial algorithms. In this paper we explain the motivation and the details of the proposed benchmark suite. As a proof of concept, we utilize the benchmarks in an International Grid Programming contest and demonstrate the result of initial experiments.

Keywords: Monte Carlo; Monte Carlo Simulation; Grid Computing; Option Price; Application Developer (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1007/978-3-642-25707-0_9

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