• DocumentCode
    2485787
  • 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
  • fYear
    2009
  • fDate
    23-29 May 2009
  • Firstpage
    1
  • Lastpage
    8
  • 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;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Parallel & Distributed Processing, 2009. IPDPS 2009. IEEE International Symposium on
  • Conference_Location
    Rome
  • ISSN
    1530-2075
  • Print_ISBN
    978-1-4244-3751-1
  • Electronic_ISBN
    1530-2075
  • Type

    conf

  • DOI
    10.1109/IPDPS.2009.5161146
  • Filename
    5161146
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=2485787