| Web-Based Parallel Monte Carlo Simulation Platform for Financial Computation |
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| 作者姓名： | LAN Rong ZHENG Shou-qi GUI Xiao-lin |
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| 作者单位： | [1]School of Electronic and Information, Xi＇an Jiaotong University, Xi＇an 710049, Shaanxi, China [2]School of Economic and Finance, Xi＇an Jiaotong University, Xi＇an 710064, Shaanxi, China |
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| 摘 要： | Using Java, Java enabled Web and object-oriented programming technologies, a framework is designed to or ganize multicornputer system on lntranet quickly to complete Monte Carlo simulation parallelizing, The high-performance computing enviromnent is embedded in Web server so it can be accessed more easily. Adaptive parallelism and eager scheduling algorithm are used to realize load balancing, parallel processing and system fault-tolerance. Independent sequence pseudo-randorn number generator schemes to keep the parallel simulation availability. Three kinds of stock option pricing models as instances, ideal speedup and pricing results obtained on test bed. Now, as a Web service, a high-performance financial derivative security-pricing platform is set up for training and studying. The framework can also be used to develop other SPMD （single procedure multiple data） application. Robustness is still a major problem for further research.
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| 关 键 词： | 财务计算 平行蒙特卡罗模拟 分布式计算 期权定价 Web |
| 文章编号： | 1007-1202（2006）01-0151-04 |
| 收稿时间： | 2005-04-23 |
Web-based parallel Monte Carlo simulation platform for financial computation |
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| LAN Rong ZHENG Shou-qi GUI Xiao-lin.Web-Based Parallel Monte Carlo Simulation Platform for Financial Computation[J].Wuhan University Journal of Natural Sciences,2006,11(1):151-154. |
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| Authors: | Lan Rong Zheng Shou-qi Gui Xiao-lin |
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| Institution: | (1) School of Electronic and Information, Xi'an Jiaotong University, 710049 Xi'an, Shaanxi, China;(2) School of Economic and Finance, Xi'an Jiaotong University, 710064 Xi'an, Shaanxi, China |
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| Abstract: | Using Java, Java-enabled Web and object-oriented programming technologies, a framework is designed to organize multicomputer system on Intranet quickly to complete Monte Carlo simulation parallelizing. The high-performance computing environment is embedded in Web server so it can be accessed more easily. Adaptive parallelism and eager scheduling algorithm are used to realize load balancing, parallel processing and system fault-tolerance. Independent sequence pseudo-random number generator schemes to keep the parallel simulation availability. Three kinds of stock option pricing models as instances, ideal speedup and pricing results obtained on test bed. Now, as a Web service, a high-performance financial derivative security-pricing platform is set up for training and studying. The framework can also be used to develop other SPMD (single procedure multiple data) application. Robustness is still a major problem for further research. |
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| Keywords: | Web-based simulation distributed computing Monte Carlo simulation stock option pricing |
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