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Published / Preprint: Using Premia and Nsp for Constructing a Risk Management Benchmark for Testing Parallel Architecture. (arXiv:1001.3213v2 [cs.CE] UPDATED)

May 22, 2012 by MoneyScience   Comments (0)

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...

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