Advanced risk analytics on the cell broadband engine

Authors:
Ciprian Docan;Manish Parashar;Christopher Marty
Affiliations:
Center for Autonomic Computing, ECE Department, Rutgers University, Piscataway NJ, USA;Center for Autonomic Computing, ECE Department, Rutgers University, Piscataway NJ, USA;Bloomberg LP, New York, NY, USA
Venue:
IPDPS '09 Proceedings of the 2009 IEEE International Symposium on Parallel&Distributed Processing
Year:
2009

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Abstract

This paper explores the effectiveness of using the CBE platform for Value-at-Risk (VaR) calculations. Specifically, it focuses on the design, optimization and evaluation of pricing European and American stock options across Monte-Carlo VaR scenarios. This analysis is performed on two distinct platforms with CBE processors, i.e., IBM Q22 blade server and the Playstation3 gaming console.