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

Jean-Philippe Chancelier, J\'er\^ome Lelong and Bernard Lapeyre
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Jean-Philippe Chancelier: CERMICS
J\'er\^ome Lelong: LJK
Bernard Lapeyre: CERMICS

Papers from arXiv.org

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.

Date: 2010-01, Revised 2012-05
New Economics Papers: this item is included in nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1001.3213

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