The Community for Technology Leaders
RSS Icon
Issue No.12 - December (2010 vol.43)
pp: 53-59
Brad Spiers , Bank of America Merrill Lynch
Denis Wallez , Bank of America Merrill Lynch
Financial institutions could achieve a two- orders-of-magnitude optimization by utilizing parallel computing for their applications. If programmers can meet the software challenges, parallelization could dramatically reshape computational finance for years to come.
Computational finance, High-performance computing, Parallelization
Brad Spiers, Denis Wallez, "High-Performance Computing on Wall Street", Computer, vol.43, no. 12, pp. 53-59, December 2010, doi:10.1109/MC.2010.349
1. F. Black and M. Scholes, "The Pricing of Options and Corporate Liabilities," J. Political Economy, vol. 81, no. 3, 1973, pp. 637-654.
2. R.C. Merton, "Theory of Rational Option Pricing," Bell J. Economics and Management Science, vol. 4, no. 1, 1973, pp. 141-183.
3. N. Wirth, "A Plea for Lean Software," Computer, vol. 28, no. 2, 1995, pp. 64-68.
4. C.M. Reinhart and K.S. Rogoff, This Time Is Different: Eight Centuries of Financial Folly, Princeton Univ. Press, 2009.
5. N.H. Bingham and R. Kiesel, Risk-Neutral Valuation: Pricing and Hedging of Financial Derivatives, 2nd ed., Springer, 2004.
6. J.W. Thomas, Numerical Partial Differential Equations: Finite Difference Methods, Springer, 1995.
7. H.H. Wang, "A Parallel Method for Tridiagonal Equations," ACM Trans. Mathematical Software, vol. 7, no. 2, 1981, pp. 170-183.
8. D. Wallez-Maskay, "Résolution Accélérée de Système Tri-diagonal sur Processeur Vectoriel,"23 Oct. 2003; .
9. R.W. Numrich and J. Reid, "Co-arrays in the Next Fortran Standard," ACM SIGPLAN Fortran Forum, vol. 24, no. 2, 2005, pp. 4-17.
10. G.M. Amdahl, "Validity of the Single Processor Approach to Achieving Large-Scale Computing Capabilities," Proc. AFIPS Joint Computer Conf., ACM Press, 1967, pp. 483-485.
22 ms
(Ver 2.0)

Marketing Automation Platform Marketing Automation Tool