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

Author

Listed:
  • Jean-Philippe Chancelier

    (CERMICS)

  • J'er^ome Lelong

    (LJK)

  • Bernard Lapeyre

    (CERMICS)

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 & J'er^ome Lelong & Bernard Lapeyre, 2010. "Using Premia and Nsp for Constructing a Risk Management Benchmark for Testing Parallel Architecture," Papers 1001.3213, arXiv.org, revised May 2012.
    • Handle: RePEc:arx:papers:1001.3213
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