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International Workshop on Applied Parallel Computing

PARA 2004: Applied Parallel Computing. State of the Art in Scientific Computing pp 395–403Cite as

Cluster Computing for Financial Engineering

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Part of the book series: Lecture Notes in Computer Science ((LNTCS,volume 3732))

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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References

  1. Banerjee, A., et al.: C# web services - building web services with .NET remoting and ASP .NET. Wrox Press Ltd., Birmingham, UK (2001)

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  2. Longstaff, F., Schwartz, E.: Valuing American Options by Simulation: A Simple Least Squares Approach. The Review of Financial Studies 14, 113–147 (2001)

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  3. Bodie, Z., Kane, A., Markus, A.J.: Investments. McGraw-Hill, New York (2001)

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  4. Wilmott, P.: Paul Wilmott on Quantitative Finance, vol. 2. John Wiley and Sons, New York (2000)

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Author information

Authors and Affiliations

  1. Cornell Theory Center, Cornell University, 55 Broad Street, Third Floor, New York, NY, 10004, USA

    Shirish Chinchalkar, Thomas F. Coleman & Peter Mansfield

Authors
  1. Shirish Chinchalkar
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  2. Thomas F. Coleman
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  3. Peter Mansfield
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Editor information

Editors and Affiliations

  1. Computer Science Department, University of Tennessee, 37996-3450, Knoxville, TN, USA

    Jack Dongarra

  2. Department of Informatics and Mathematical Modelling, Technical University of Denmark, DK-2800, Lyngby, Denmark

    Kaj Madsen

  3. Informatics & Mathematical Modeling, Technical University of Denmark, DK-2800, Lyngby, Denmark

    Jerzy Waśniewski

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© 2006 Springer-Verlag Berlin Heidelberg

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Chinchalkar, S., Coleman, T.F., Mansfield, P. (2006). Cluster Computing for Financial Engineering. In: Dongarra, J., Madsen, K., Waśniewski, J. (eds) Applied Parallel Computing. State of the Art in Scientific Computing. PARA 2004. Lecture Notes in Computer Science, vol 3732. Springer, Berlin, Heidelberg. https://doi.org/10.1007/11558958_47

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  • DOI: https://doi.org/10.1007/11558958_47

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-29067-4

  • Online ISBN: 978-3-540-33498-9

  • eBook Packages: Computer ScienceComputer Science (R0)

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