2009 IEEE International Symposium on Parallel & Distributed Processing, 2009, p.1-8
2009
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Details
- Autor(en) / Beteiligte
- Titel
- Advanced risk analytics on the cell broadband engine
- Ist Teil von
- 2009 IEEE International Symposium on Parallel & Distributed Processing, 2009, p.1-8
- Ort / Verlag
- IEEE
- Erscheinungsjahr
- 2009
- Quelle
- IEEE Xplore
- Beschreibungen/Notizen
- 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.
- Sprache
- Englisch
- Identifikatoren
- ISBN: 9781424437511, 1424437512ISSN: 1530-2075DOI: 10.1109/IPDPS.2009.5161146Titel-ID: cdi_ieee_primary_5161146
- Format
- –
- Schlagworte
- Costs, Covariance matrix, Engines, Hardware, Instruments, Portfolios, Pricing, Reactive power, Risk analysis, Time measurement