Advanced risk analytics on the cell broadband engine

Ciprian Docan, Manish Parashar, Christopher Marty

Research output: Chapter in Book/Report/Conference proceedingConference contribution

5 Scopus citations

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.

Original languageEnglish (US)
Title of host publicationIPDPS 2009 - Proceedings of the 2009 IEEE International Parallel and Distributed Processing Symposium
DOIs
StatePublished - Nov 25 2009
Event23rd IEEE International Parallel and Distributed Processing Symposium, IPDPS 2009 - Rome, Italy
Duration: May 23 2009May 29 2009

Publication series

NameIPDPS 2009 - Proceedings of the 2009 IEEE International Parallel and Distributed Processing Symposium

Other

Other23rd IEEE International Parallel and Distributed Processing Symposium, IPDPS 2009
CountryItaly
CityRome
Period5/23/095/29/09

All Science Journal Classification (ASJC) codes

  • Computational Theory and Mathematics
  • Hardware and Architecture
  • Software

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