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Financial Computations on Clusters Using Web Services

  • Shirish Chinchalkar
  • Thomas F. Coleman
  • Peter Mansfield
Conference paper
Part of the Lecture Notes in Computer Science book series (LNCS, volume 3515)

Abstract

The pricing of a portfolio of financial instruments is a common and important computational problem in financial engineering. In addition to pricing, a portfolio or risk manager may be interested in determining an effective hedging strategy, computing the value at risk, or valuing the portfolio under several different scenarios. Because of the size of many practical portfolios and the complexity of modern financial instruments the computing time to solve these problems can be several hours. We demonstrate a powerful and practical method for solving these problems on clusters using web services.

Keywords

Interest Rate Bond Price Hedging Strategy Callable Bond Future Interest Rate 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

References

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    Banerjee, A., et al.: C# web services - building web services with. NET remoting and ASP.NET. Wrox Press Ltd., Birmingham (2001)Google Scholar
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    Longstaff, F., Schwartz, E.: Valuing American Options by Simulation: A Simple Least Squares Approach. The Review of Financial Studies 14, 113–147 (2001)CrossRefGoogle Scholar
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    Bodie, Z., Kane, A., Markus, A.J.: Investments. McGraw-Hill, New York (2001)Google Scholar
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    Wilmott, P.: Paul Wilmott on Quantitative Finance, vol. 2. John Wiley and Sons, New York (2000)Google Scholar

Copyright information

© Springer-Verlag Berlin Heidelberg 2005

Authors and Affiliations

  • Shirish Chinchalkar
    • 1
  • Thomas F. Coleman
    • 1
  • Peter Mansfield
    • 1
  1. 1.Cornell Theory CenterCornell UniversityNew YorkUSA

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