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Experience and Advances in Grid Computing for Options Pricing

Author: Francoise Baude and Mireille Bossy and Viet-Dung DOAN and Ian Stokes-Rees
EntryType: inproceedings
Booktitle: Proceedings of the International Symposium on Grid Computing 2007
Year: 2007" month = "March
Abstract: Computing in financial services consists of a combination of time-critical computations completed during trading hours, such as Monte Carlo simulations for option pricing, and over-night calculations on massive data sets, such as those required for market risk measurement. To date, this has typically been done using traditional parallel or cluster computing techniques. The French National Research Agency (ANR), along with several banks and financial software companies have partnered with INRIA to explore the application of grid computing to this domain. The PicsouGrid project specifically looks at the use of the ProActive development environment to seamlessly parallelize and distribute Monte Carlo option pricing simulations. Features such as load-balancing, fault-tolerance, and overall performance are analysed on the French Grid5000 network, and using LCG. This shows the impact of intra- and inter-site communications in a grid environment for a number of standard option pricing algorithms, as well as highlighting the capabilities and shortcomings of the underlying grid frabrics

Bibtex:
@InProceedings{isgc2007_picsougrid,
    title     = "Experience and Advances in Grid Computing for Options Pricing",
    author    = "Francoise Baude and Mireille Bossy and Viet-Dung DOAN and Ian Stokes-Rees",
    booktitle = "Proceedings of the International Symposium on Grid Computing 2007",
    year     = "2007"
    month    = "March",
    abstract = "Computing in financial services consists of a combination of time-critical computations completed during trading hours, such as Monte Carlo simulations for option pricing, and over-night calculations on massive data sets, such as those required for market risk measurement. To date, this has typically been done using traditional parallel or cluster computing techniques.  The French National Research Agency (ANR), along with several banks and financial software companies have partnered with INRIA to explore the application of grid computing to this domain.  The PicsouGrid project specifically looks at the use of the ProActive development environment to seamlessly parallelize and distribute Monte Carlo option pricing simulations.  Features such as load-balancing, fault-tolerance, and overall performance are analysed on the French Grid5000 network, and using LCG.  This shows the impact of intra- and inter-site communications in a grid environment for a number of standard option pricing algorithms, as well as highlighting the capabilities and shortcomings of the underlying grid frabrics"
}

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Shared by: Sebastien Bezzine, Viet Dung Doan, Ian Stokes-Rees, Stephane Vialle
Last update: 2007-03-06 10:23:09
Publication #353

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