Monte Carlo grid for financial risk management

Authors:
Shu Tezuka;Hiroki Murata;Shuji Tanaka;Shoji Yumae
Affiliations:
IBM (International Business Machines) Tokyo Research Laboratory, 1623-14 Shimotsuruma, Yamato, Kanagawa 242-8502, Japan;IBM (International Business Machines) Tokyo Research Laboratory, 1623-14 Shimotsuruma, Yamato, Kanagawa 242-8502, Japan;NLI (Nippon Life Insurance or Nissay) Research Institute, Kudan Center Building, 4-1-7 Kudankita, Chiyoda-ku, Tokyo 102-0073, Japan;NLI (Nippon Life Insurance or Nissay) Research Institute, Kudan Center Building, 4-1-7 Kudankita, Chiyoda-ku, Tokyo 102-0073, Japan
Venue:
Future Generation Computer Systems - Special issue: Parallel computing technologies
Year:
2005

Citing 1
Cited 2

Mersenne twister: a 623-dimensionally equidistributed uniform pseudo-random number generator

ACM Transactions on Modeling and Computer Simulation (TOMACS) - Special issue on uniform random number generation

Reward-based allocation of cluster and grid resources for imprecise computation model-based applications

International Journal of Web and Grid Services
An advanced system for portfolio optimisation

International Journal of Grid and Utility Computing

Quantified Score

Hi-index	0.00

Visualization

Abstract

Due to reduced profitability, increased price competition, and strengthened regulation, financial institutions in all countries are now upgrading their financial analytics based on Monte Carlo simulation. In this article, we propose three key technologies, i.e., data protection, integrity, and deadline scheduling, which are indispensable to build a secure PC-grid for financial risk management. We constructed a PC-grid by scavenging unused CPU cycles of about 50 PCs under real office environment, and obtained the 80 times speed-up, namely, for 100,000 Monte Carlo scenarios, 95h computation on a single server is reduced to 70min. Finally, we discuss future research directions.