Derivative Pricing As A Business Grid
Application Using NextGRID Technology
Author(s)
A. Basermann, G. A. Kohring & C. Neff
Abstract
The focus of the option valuation application described in this paper is on
complex derivatives like American style options on multiple underlyings. The
MPI-parallel and vectorized pricing code developed is based on Monte Carlo and
Quasi Monte Carlo simulation methods. Within the European Commission
Project NextGRID, whose primary goal is to develop architectural principles for
the Next Generation Grid, experiments with derivative pricing scenarios have
been performed that test the viability and adequacy of the NextGRID security
model as well as the interoperability of NextGRID components. The main
benefit of the usage of NextGRID principles and components for the derivative
pricing application itself is that it supported the transition from a mere high
performance computing Grid application to a business Grid application much
better reflecting the functional separation and different levels of expertise of the
parties involved. Based on SLAs, it is now possible to make the selection of
optimal hardware transparent to the users. The NextGRID security model
ensures security and integrity of the data, in a framework that is flexible enough
to be adapted to cases where Grid resources are added dynamically.
Keywords: derivative pricing, NextGRID, security, SLAs, business Grid
application, performance.
1 Introduction
Both the steadily increasing number of traded financial derivatives and the
demand for more and more complex derivatives tailored for special purposes
require continuously increasing capacities for the numerical valuation of these
Keywords
derivative pricing, NextGRID, security, SLAs, business Grid
application, performance.
Related Book
Other papers in this volume
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