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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 - Institut Polytechnique de Grenoble - Grenoble Institute of Technology - CNRS - Centre National de la Recherche Scientifique - UGA - Université Grenoble Alpes)

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.archives-ouvertes.fr/hal-00447845v2
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    File URL: https://hal.archives-ouvertes.fr/hal-00447845v2/document
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    Keywords

    Premia; Mpi; Nsp;

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