S.A. Zenios J.M. Hutchinson. Financial simulations on a massively parallallel connection machine. The International Journal of Supercomputer Applications, 5(2):27--45, 1991. Home/Search Document Not in Database Summary Related Articles Check |
This paper is cited in the following contexts:
P³T+: A Performance Estimator for Distributed and.. - Fahringer, Pozgaj (Correct)
.... but for a range of products, whose cash flows depend on a value of a financial variable in the past so called path dependent products Monte Carlo simulation techniques have to be applied [38, 35] By utilizing massively parallel architectures very efficient implementations can be achieved [31, 47]. 15 0 100 200 300 400 500 600 N 0 10 20 30 40 50 secs measured predicted Figure 6. Measured versus predicted computation times of the Cholesky factorization for various problem sizes (N ) on the Meiko CS 2 0 200 400 600 800 1000 N 0 0.01 0.02 0.03 0.04 0.05 0.06 work ....
S. Z. J.M. Hutchinson. Financial simulations on a massively parallallel connection machine. The International Journal of Supercomputer Applications, 5(2):27--45, 1991.
PłT+: A Performance Estimator for Distributed and Parallel.. - Pozgaj, Fahringer (2000) (Correct)
.... but for a range of products, whose cash flows depend on a value of a financial variable in the past so called path dependent products Monte Carlo simulation techniques have to be applied [60, 54] By utilizing massively parallel architectures very efficient implementations can be achieved [50, 86]. The parallel pricing system has been encoded as an HPF program (see Figure 4.11) and executed on the NEC Cenju 4 [57] distributed memory multiprocessor system. HPF PROCESSORS : PR(NUMBER OF PROCESSORS( HPF DISTRIBUTE (BLOCK) ONTO PR : VALUE . TYPE(BOND) B the bond to be ....
S.A. Zenios J.M. Hutchinson. Financial simulations on a massively parallallel connection machine. The International Journal of Supercomputer Applications, 5(2):27--45, 1991.
Evaluation of P³T+: A Performance Estimator.. - Fahringer, Pozgaj, .. (1999) (Correct)
.... but for a range of products, whose cash flows depend on a value of a financial variable in the past so called path dependent products Monte Carlo simulation techniques have to be applied [23] By utilizing massively parallel architectures very efficient implementations can be achieved [20]. 6 0 100 200 300 400 500 600 N 0 10 20 30 40 50 secs measured predicted Figure 2. Measured versus predicted computation times of the Cholesky factorization for various problem sizes (N ) on the Meiko CS 2 0 200 400 600 800 1000 N 0 0.01 0.02 0.03 0.04 0.05 0.06 work ....
S. Z. J.M. Hutchinson. Financial simulations on a massively parallallel connection machine. The International Journal of Supercomputer Applications, 5(2):27--45, 1991.
Development and Performance Analysis of Real-World .. - Fahringer, Blaha, .. (1999) (Correct)
.... but for a range of products, whose cash flows depend on a value of a financial variable in the past so called path dependent products Monte Carlo simulation techniques have to be applied [33] 28] By utilizing massively parallel architectures very efficient implementations can be achieved [25], 41] For a detailed description of the technique implemented see [11] and [18] The Monte Carlo simulation is based on a discrete representation of a stochastic process that describes the dynamics of the underlying security over time [24] In the case of interest rate dependent products, the ....
S. Z. J.M. Hutchinson. Financial simulations on a massively parallallel connection machine. The International Journal of Supercomputer Applications, 5(2):27--45, 1991.
P³T+: A Performance Estimator for Distributed and.. - Pozgaj, Fahringer (2000) (Correct)
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S.A. Zenios J.M. Hutchinson. Financial simulations on a massively parallallel connection machine. The International Journal of Supercomputer Applications, 5(2):27--45, 1991.
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