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Efficient High Performance Computing Framework for Short Rate Models

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5 Author(s)
Dampahala, T.P. ; Dept. of Comput. Sci. & Eng., Univ. of Moratuwa, Moratuwa ; Premadasa, H.D.D.D. ; Ranasinghe, P.W.W. ; Weerasinghe, J.N.P.
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Many mathematical calculations in the field of computational finance consume a lot of time and resources for processing. Some of the short rate models used in quantitative finance which have been taken into consideration in this paper have been optimized for performance within a cluster computing environment. The back-end cluster has been seamlessly integrated with an easy-to-use front-end which can be used by finance professionals who are not aware of the details of the computational and database cluster. Furthermore, many techniques that have been utilized to improve the efficiency of the models have also been described. This paper also describes the generalization of a high performance computing cluster designed for one-factor short rate models and how it can be used easily to be further extended for other mathematical models in quantitative finance. The ultimate objective is to come up with a generalized framework for quantitative finance.

Published in:

Modelling & Simulation, 2009. AMS '09. Third Asia International Conference on

Date of Conference:

25-29 May 2009