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arXiv · 1001.3213

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

Jean-Philippe Chancelier·Jérôme Lelong·Bernard Lapeyre
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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.

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Jean-Philippe Chancelier, Jérôme Lelong, Bernard Lapeyre. 2010-01-19. Using Premia and Nsp for Constructing a Risk Management Benchmark for Testing Parallel Architecture. https://arxiv.org/abs/1001.3213

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