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 |