Monte Carlo grid for financial risk management

Shu Tezuka, Hiroki Murata, Shuji Tanaka, Shoji Yumae

研究成果: Contribution to journalArticle査読

19 被引用数 (Scopus)

抄録

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.

本文言語英語
ページ(範囲)811-821
ページ数11
ジャーナルFuture Generation Computer Systems
21
5
DOI
出版ステータス出版済み - 5 2005

All Science Journal Classification (ASJC) codes

  • ソフトウェア
  • ハードウェアとアーキテクチャ
  • コンピュータ ネットワークおよび通信

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