IDEAS home Printed from https://ideas.repec.org/p/hal/journl/hal-00447845.html
   My bibliography  Save this paper

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

Author

Listed:
  • Jean-Philippe Chancelier

    (CERMICS - Centre d'Enseignement et de Recherche en Mathématiques et Calcul Scientifique - ENPC - École des Ponts ParisTech)

  • Bernard Lapeyre

    (CERMICS - Centre d'Enseignement et de Recherche en Mathématiques et Calcul Scientifique - ENPC - École des Ponts ParisTech)

  • Jérôme Lelong

    (MATHRISK - Mathematical Risk handling - Inria Paris-Rocquencourt - Inria - Institut National de Recherche en Informatique et en Automatique - UPEM - Université Paris-Est Marne-la-Vallée - ENPC - École des Ponts ParisTech, SAM - Statistique Apprentissage Machine - LJK - Laboratoire Jean Kuntzmann - UPMF - Université Pierre Mendès France - Grenoble 2 - UJF - Université Joseph Fourier - Grenoble 1 - Grenoble INP - Institut polytechnique de Grenoble - Grenoble Institute of Technology - CNRS - Centre National de la Recherche Scientifique)

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.

Suggested Citation

  • Jean-Philippe Chancelier & Bernard Lapeyre & Jérôme Lelong, 2014. "Using Premia and Nsp for Constructing a Risk Management Benchmark for Testing Parallel Architecture," Post-Print hal-00447845, HAL.
    • Handle: RePEc:hal:journl:hal-00447845
    DOI: 10.1002/cpe.2893
    Note: View the original document on HAL open archive server: https://hal.science/hal-00447845v2
    as

    Download full text from publisher

    File URL: https://hal.science/hal-00447845v2/document
    Download Restriction: no
    File URL: https://libkey.io/10.1002/cpe.2893?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Keywords

    Premia; Mpi; Nsp;
    All these keywords.

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:journl:hal-00447845. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.