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dc.contributor.author Dampahala, TP
dc.contributor.author Premadasa, HDDD
dc.contributor.author Ranasinghe, PWW
dc.contributor.author Weerasinghe, JNP
dc.contributor.author Wimalawarne, KADNK
dc.contributor.editor Nanayakkara, V
dc.contributor.editor Gunasinghe, UP
dc.date.accessioned 2022-11-22T09:22:10Z
dc.date.available 2022-11-22T09:22:10Z
dc.date.issued 2009-07
dc.identifier.citation **** en_US
dc.identifier.uri http://dl.lib.uom.lk/handle/123/19582
dc.description.abstract Many mathematical calculations in the field of computational finance consume a lot of time and resources for processing. Some of the Short rate models used in quantitative finance which have been taken into consideration in this paper have been optimized for performance within a cluster computing environment. The back-end cluster has been seamlessly integrated with an easy-to-use front-end which can be used by finance professionals who are not aware of the details of the computational and database cluster. Furthermore, many techniques that have been utilized to improve the efficiency of the models have also been described. This paper also describes the generalization of a High Performance Computing Cluster designed for One-factor Short rate models and how it can be used easily to be further extended for other mathematical models in quantitative finance. The ultimate objective is to come up with a generalized framework for quantitative finance. en_US
dc.language.iso en en_US
dc.publisher Computer Science & Engineering Society c/o Department of Computer Science and Engineering, University of Moratuwa. en_US
dc.title Efficient high performance computing framework for short rate models en_US
dc.type Conference-Full-text en_US
dc.identifier.faculty Engineering en_US
dc.identifier.department Department of Computer Science and Engineering en_US
dc.identifier.year 2009 en_US
dc.identifier.conference CS & ES Conference 2009 en_US
dc.identifier.place Colombo, Sri Lanka en_US
dc.identifier.pgnos pp. 91-96 en_US
dc.identifier.proceeding Proceedings of the CS & ES Conference 2009 en_US


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