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

  • Jean-Philippe Chancelier

    ()

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

  • Bernard Lapeyre

    ()

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

  • Jérôme Lelong

    ()

    (LJK - Laboratoire Jean Kuntzmann - CNRS : UMR5224 - Université Joseph Fourier - Grenoble I - Université Pierre-Mendès-France - Grenoble II - Institut Polytechnique de Grenoble - Grenoble Institute of Technology, INRIA Paris-Rocquencourt - MATHRISK - INRIA - École des Ponts ParisTech (ENPC) - Université Paris-Est Marne-la-Vallée (UPEMLV))

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    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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    Paper provided by HAL in its series Post-Print with number hal-00447845.

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    Date of creation: 25 Jun 2014
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    Publication status: Published, Concurrency and Computation: Practice and Experience, 2014, 26, 9, 1654-1665
    Handle: RePEc:hal:journl:hal-00447845
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