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
A Grid Enabled Problem Solving Environment for Monte Carlo Matlab Simulations
DS-RT '07 Proceedings of the 11th IEEE International Symposium on Distributed Simulation and Real-Time Applications
Use of distributed computing in derivative pricing
International Journal of Electronic Finance
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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, 95 h computation on a single server is reduced to 70 min. Finally, we discuss future research directions.