The fast Fourier transform and its applications
The fast Fourier transform and its applications
A study of the EARTH-MANNA multithreaded system
International Journal of Parallel Programming - Special issue on parallel architectures and compilation techniques—part II
High-performance computing in finance: the last 10 years and the next
Parallel Computing - Special Anniversary issue
High-performance computing in finance: the last 10 years and the next
Parallel Computing - Special Anniversary issue
Multithreaded algorithms for the fast Fourier transform
Proceedings of the twelfth annual ACM symposium on Parallel algorithms and architectures
Parallel computing in economics, finance and decision-making
Parallel Computing - Special issue on parallel computing in economics, finance and decision-making
Introduction to Algorithms
Parallel and Distributed Computing Issues in Pricing Financial Derivatives through Quasi Monte Carlo
IPDPS '02 Proceedings of the 16th International Parallel and Distributed Processing Symposium
Latency Hiding in Message-Passing Architectures
Proceedings of the 8th International Symposium on Parallel Processing
Multithreaded Algorithms for Pricing a Class of Complex Options
IPDPS '01 Proceedings of the 15th International Parallel & Distributed Processing Symposium
Costs and Benefits of Multithreading with Off-the-Shelf RISC Processors
Euro-Par '95 Proceedings of the First International Euro-Par Conference on Parallel Processing
Building Multithreaded Architectures with Off-the-Shelf Microprocessors
Proceedings of the 8th International Symposium on Parallel Processing
Earth: an efficient architecture for running threads
Earth: an efficient architecture for running threads
Irregular computations on fine-grain multithreaded architecture
Irregular computations on fine-grain multithreaded architecture
A parallel quasi-Monte Carlo approach to pricing multidimensional American options
International Journal of High Performance Computing and Networking
Option pricing using Particle Swarm Optimization
C3S2E '09 Proceedings of the 2nd Canadian Conference on Computer Science and Software Engineering
Option pricing, maturity randomization and distributed computing
Parallel Computing
Pricing algorithms for financial derivatives
Algorithms and theory of computation handbook
Grid resources valuation with fuzzy real option
International Journal of High Performance Computing and Networking
High performance computing for a financial application using fast fourier transform
Euro-Par'05 Proceedings of the 11th international Euro-Par conference on Parallel Processing
A grid resources valuation model using fuzzy real option
ISPA'07 Proceedings of the 5th international conference on Parallel and Distributed Processing and Applications
The Journal of Supercomputing
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Pricing of derivatives is one of the central problems in computational finance. Since the theory of derivative pricing is highly mathematical, numerical techniques such as lattice approach, finite-difference and finite-element among others have been employed. Recently fast Fourier transform (FFT) has been employed for derivative pricing in sequential computers. In this paper, we report development of a multithreaded FFT pricing algorithm and performance evaluation on a multithreaded platform. The focus of this study is on the effectiveness of using a parallel computer for financial problems and performance evaluation of a multithreaded algorithm for finance applications such as derivative pricing. In general, a parallel algorithm for FFT, with blocked data distribution of N elements on P processors, involves communication for log P iterations and terminates after log N iterations. The first (log N − log P) iterations therefore, require no communication and a sequential algorithm can be used in each processor. We call this a local algorithm. At the end of the (log N − log P) iterations, the processors switch to a multithreaded algorithm where sending and receiving of threads is through message passing. We call this a remote algorithm. The algorithm has been implemented on the EARTH (Efficient Architecture for Running THreads) multithreaded platform. Our results indicate that the FFT multithreaded algorithm for option pricing is very efficient giving a relative speedup of 50% on 64 processors. This study reveals an important commercial application for High Performance Computing.