Monte Carlo grid for financial risk management

Shu Tezuka, Hiroki Murata, Shuji Tanaka, Shoji Yumae

Research output: Contribution to journalArticle

16 Citations (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)811-821
Number of pages11
JournalFuture Generation Computer Systems
Volume21
Issue number5
DOIs
Publication statusPublished - May 1 2005

Fingerprint

Data privacy
Scavenging
Risk management
Program processors
Profitability
Servers
Scheduling
Monte Carlo simulation

All Science Journal Classification (ASJC) codes

  • Software
  • Hardware and Architecture
  • Computer Networks and Communications

Cite this

Monte Carlo grid for financial risk management. / Tezuka, Shu; Murata, Hiroki; Tanaka, Shuji; Yumae, Shoji.

In: Future Generation Computer Systems, Vol. 21, No. 5, 01.05.2005, p. 811-821.

Research output: Contribution to journalArticle

Tezuka, S, Murata, H, Tanaka, S & Yumae, S 2005, 'Monte Carlo grid for financial risk management', Future Generation Computer Systems, vol. 21, no. 5, pp. 811-821. https://doi.org/10.1016/j.future.2004.12.003
Tezuka, Shu ; Murata, Hiroki ; Tanaka, Shuji ; Yumae, Shoji. / Monte Carlo grid for financial risk management. In: Future Generation Computer Systems. 2005 ; Vol. 21, No. 5. pp. 811-821.
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