Design of high performance financial modelling environment

Parallel Computing

Volumn 26, Issue 5, 2000, Pages 601-622

  Bunnin, F O ^a   Guo, Y ^a   Ren, Y ^a   Darlington, J ^a  

^a IMPERIAL COLLEGE LONDON   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

COMPUTER SIMULATION; COMPUTER SYSTEMS PROGRAMMING; FINANCIAL DATA PROCESSING; FINITE ELEMENT METHOD; MATHEMATICAL MODELS; MONTE CARLO METHODS; PROBLEM SOLVING; RESPONSE TIME (COMPUTER SYSTEMS); SECURITY OF DATA;

HIGH PERFORMANCE MODELING ENVIRONMENTS;

DISTRIBUTED COMPUTER SYSTEMS;

EID: 0033895163     PISSN: 01678191     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-8191(99)00122-2     Document Type: Article

References (25)

1. Akers R.L., Kant E., Randall C.J., Steinberg S., Young R.L. SciNapse: A problem-solving environment for partial differential equations. IEEE Computational Science and Engineering. 4(2):1997.
2. Ames W.F. Numerical Methods for Partial Differential Equations. 1992;Academic Press, New York.
3. Boyle P., Broadie, Glasserman Monte-Carlo methods for option pricing. Journal of Economic Dynamics and Control. 21:1997;1267-1321.
4. Cats G., Van Engelen R., Wolters L. Tomorrow's weather forecast: automatic code generation for atmospheric modeling. IEEE Computational Science and Engineering. 4(2):1997.
5. Cox J., Ross S., Rubinstein M. Option pricing: a simplified approach. Journal of Financial Economics. 7:1979;229-263.
6. P.D. Coddington, Random Number Generators for Parallel Computers, Syracuse University, 1997.
7. S. Cyganowski, Solving stochastic differential equations with Maple, http://net.indra.com/ sullivan/q253.html.
8. Duffie D. Dynamic Asset Pricing. 1996;Princeton University Press, Princeton, NJ.
9. Fornberg B. A Practical Guide to Pseudospectral Methods. 1996;Cambridge University Press, Cambridge.
10. B. Fornberg, D. Sloan, A review of PS methods for solving PDEs, Acta Numerica (1994) 203-267.
11. Houstis E.N., Gallopoulos E., Bramley R., Rice J. Problem-solving environments for computational science. IEEE Computational Science and Engineering. 4(2):1997.
12. E.N. Houstis, S.B. Kim, S. Markus, P. Wu, N.E. Houstis, A.C. Catlin, S. Weerawarana, http://www.cs.purdue.edu/homes/markus/research/pubs/pde-solvers/paper.html.
13. Hull J. Options Futures and Other Derivative Securities. 1993;Prentice-Hall, Englewood Cliffs, NJ.
14. E. Kant, C. Randall, A. Chhabra, Using program synthesis to price derivatives, Journal of Computational Finance 1 (2) (1997/98) 97-129.
15. Karatzas I., Shreve S.E. Brownian Motion and Stochastic Calculus. 1991;Springer, New York.
16. Kloeden P.E., Platen E. Numerical Solution of Stochastic Differential Equations. 1994;Springer, New York.
17. Markus S., Weerawarana S., Houstis E.N., Rice J.R. Scientific computing via the Web: the net pellpack PSE server. IEEE Computational Science and Engineering. 4(2):1997.
18. Musiela M., Rutkowski M. Martingale Methods in Financial Modeling. 1997;Springer, New York.
19. Oksendal B. Stochastic Differential Equations. 1998;Springer, New York.
20. Gottlieb D., Orszag S.A. Spectral Methods for Partial Differential Equations. 1977;SIAM, Philadelphia.
21. Rebonato R. Interest Rate Option Models. 1996;Wiley, New York.
22. J. Rice, PSE challenges for the 21st century, in: European Research Conference: Advanced Environments and Tools for High Performance Computing, San Feliu de Guixols, Spain, June 1999.
23. P. Wilmott, J. Dewynne, S. Howison, Option Pricing. Mathematical Models and Computation, Oxford Financial Press, 1993.
24. Wolfram S. The Mathematica Book. 1996;Cambridge University Press, Cambridge.
25. Smith G.D. Numerical Solution to Partial Differential Equations: Finite Difference Methods. 1985;Oxford University Press, Oxford.