Grid'5000 user report for

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  • Monte-Carlo benchmark (Application) [achieved]
    Description: A Monte Carlo appliaction in computing for the financial mathematics problem. My application run on one PCs took about 10h. On one node of Grid'5000 took about 100 mins. My goal is to find the numbers of node to reduce the time lower than 1 minute and when the time will reach the limit. Now, with 72 PCs in site Sophia, it took about 1,6 min and I hope with 150 PCs it will down to 0,8 mins. - The problem now, is that I dont know when the time will not down anymore and reach to the minimum.


  • Experience and Advances in Grid Computing for Options Pricing [2007] (international)
    EntryType: inproceedings
    Author: Francoise Baude and Mireille Bossy and Viet-Dung DOAN and Ian Stokes-Rees
    Booktitle: Proceedings of the International Symposium on Grid Computing 2007
    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
  • A Fault Tolerant and Multi-Paradigm Grid Architecture for Time Constrained Problems. Application to Option Pricing in Finance. [2006] (international)
    EntryType: inproceedings
    Author: Sébastien Bezzine, Virginie Galtier, Stéphane Vialle, Françoise Baude, Mireille Bossy, Viet Dung Doan, Ludovic Henrio
    Booktitle: Second IEEE International Conference on e-Science and Grid Computing
    Note: to appear


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    last update: 2007-03-05 17:50:07