Cluster Computing for Financial Engineering

Document Type

Conference Proceeding

Faculty

Faculty of Business and Law

School

School of Accounting, Finance and Economics

RAS ID

9091

Comments

Chinchalkar, S., Coleman, T. F., & Mansfield, P. (2004, June). Cluster computing for financial engineering. In International Workshop on Applied Parallel Computing (pp. 395-403). Springer, Berlin, Heidelberg.

Abstract

The pricing of a portfolio of financial instruments is a common and important computational problem in financial engineering. In addition to pricing, a portfolio or risk manager may be interested in determining an effective hedging strategy, computing the value at risk, or valuing the portfolio under several different scenarios. Because of the size of many practical portfolios and the complexity of modern financial instruments the computing time to solve these problems can be several hours. We demonstrate a powerful and practical method for solving these problems on clusters using web services.

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