Managing Parallel and Distributed Monte Carlo Simulations for Computational Finance in a Grid Environment
暂无分享,去创建一个
Françoise Baude | Mireille Bossy | Viet-Dung Doan | Ian Stokes-Ress | M. Bossy | F. Baude | V. Doan | Ian Stokes-Ress
[1] Stéphane Vialle,et al. A Fault Tolerant and Multi-Paradigm Grid Architecture for Time Constrained Problems. Application to Financial Option Pricing , 2006 .
[2] Craig A. Knoblock,et al. Advanced Programming in the UNIX Environment , 1992, Addison-Wesley professional computing series.
[3] Stéphane Vialle,et al. A Fault Tolerant and Multi-Paradigm Grid Architecture for Time Constrained Problems. Application to Option Pricing in Finance. , 2006, 2006 Second IEEE International Conference on e-Science and Grid Computing (e-Science'06).
[4] Fred J. Hickernell,et al. Monte Carlo and Quasi-Monte Carlo Methods 2000 , 2002 .
[5] Denis Caromel,et al. Towards Deployment Contracts in Large Scale Clusters & Desktop Grids , 2007, 2007 IEEE International Parallel and Distributed Processing Symposium.
[6] Denis Caromel,et al. ProActive: an integrated platform for programming and running applications on Grids and P2P systems , 2006 .
[7] Francis A. Longstaff,et al. Valuing American Options by Simulation: A Simple Least-Squares Approach , 2001 .
[8] Justin W. L. Wan,et al. A parallel quasi-Monte Carlo approach to pricing multidimensional American options , 2006, Int. J. High Perform. Comput. Netw..
[9] Denis Caromel,et al. Asynchronous Typed Object Groups for Grid Programming , 2007, International Journal of Parallel Programming.
[10] Ken Seng Tan,et al. An improved simulation method for pricing high-dimensional American derivatives , 2003, Math. Comput. Simul..
[11] A.N. Avramidis,et al. Efficiency improvements for pricing American options with a stochastic mesh , 1999, WSC'99. 1999 Winter Simulation Conference Proceedings. 'Simulation - A Bridge to the Future' (Cat. No.99CH37038).
[12] P. Glasserman,et al. Pricing American-style securities using simulation , 1997 .
[13] F. Black,et al. The Pricing of Options and Corporate Liabilities , 1973, Journal of Political Economy.
[14] Franck Cappello,et al. Grid'5000: A Large Scale And Highly Reconfigurable Experimental Grid Testbed , 2006, Int. J. High Perform. Comput. Appl..
[15] Fernando Zapatero,et al. Monte Carlo Valuation of American Options through Computation of the Optimal Exercise Frontier , 2000, Journal of Financial and Quantitative Analysis.
[16] Jean-Yves Girard,et al. Monte Carlo Valuation of Multidimensional American Options Through Grid Computing , 2005, LSSC.
[17] Paul Hyden,et al. Efficiency improvements for pricing American options with a stochastic mesh , 1999, WSC'99. 1999 Winter Simulation Conference Proceedings. 'Simulation - A Bridge to the Future' (Cat. No.99CH37038).
[18] Paul Avery,et al. The Open Science Grid , 2007 .