Title :
Advanced risk analytics on the cell broadband engine
Author :
Docan, Ciprian ; Parashar, Manish ; Marty, Christopher
Author_Institution :
ECE Dept., Rutgers Univ., Piscataway, NJ, USA
Abstract :
This paper explores the effectiveness of using the CBE platform for Value-at-Risk (VaR) calculations. Specifically, it focuses on the design, optimization and evaluation of pricing European and American stock options across Monte-Carlo VaR scenarios. This analysis is performed on two distinct platforms with CBE processors, i.e., IBM Q22 blade server and the Playstation3 gaming console.
Keywords :
Monte Carlo methods; microprocessor chips; pricing; risk analysis; stock markets; European and American stock options; Monte-Carlo VaR scenarios; Playstation3 gaming console; advanced risk analytics; cell broadband engine; value-at-risk calculations; Costs; Covariance matrix; Engines; Hardware; Instruments; Portfolios; Pricing; Reactive power; Risk analysis; Time measurement;
Conference_Titel :
Parallel & Distributed Processing, 2009. IPDPS 2009. IEEE International Symposium on
Conference_Location :
Rome
Print_ISBN :
978-1-4244-3751-1
Electronic_ISBN :
1530-2075
DOI :
10.1109/IPDPS.2009.5161146
