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

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  • Jean-Philippe Chancelier

    (CERMICS)

  • J\'er\^ome Lelong

    (LJK)

  • Bernard Lapeyre

    (CERMICS)

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    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.

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    File URL: http://arxiv.org/pdf/1001.3213
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    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number 1001.3213.

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    Date of creation: Jan 2010
    Date of revision: May 2012
    Handle: RePEc:arx:papers:1001.3213

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    Web page: http://arxiv.org/

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