Abstract
Pricing and hedging of higher order derivatives such as multidimensional (up to 100 underlying assets) European and first generation exotic options represent mathematically complex and computationally intensive problems. Grid computing promises to give the capability to handle such intense computations. With several Grid middleware solutions available for gridifying traditional applications, it is cumbersome to select an ideal candidate, to develop financial applications, that can cope up with time critical computational demand for complex pricing requests. In this paper we present SuperQuant Financial Benchmark Suite to evaluate and quantify the overhead imposed by a Grid middleware on throughput of the system and turnaround times for computation. This approach is a step towards producing a middleware independent, reproducible, comparable, self-sufficient and fair performance analysis of Grid middlewares. The result of such a performance analysis can be used by middleware vendors to find the bottlenecks and problems in their design and implementation of the system and by financial application developers to verify the implementation of their financial algorithms. In this paper we explain the motivation and the details of the proposed benchmark suite. As a proof of concept, we utilize the benchmarks in an International Grid Programming contest and demonstrate the result of initial experiments.
This is a preview of subscription content, log in via an institution.
Buying options
Tax calculation will be finalised at checkout
Purchases are for personal use only
Learn about institutional subscriptionsPreview
Unable to display preview. Download preview PDF.
References
P. Alexius, B. Elahi, F. Hedman, P. Mucci, G. Netzer, and Z. Shah. A black-box approach to performance analysis of grid middleware. In Euro-Par 2007 Workshops: Parallel Processing, pages 62–71. Springer, 2008.
D. Baileym, J. Barton, T. Lasinski, and H. Simon. The NAS Parallel Benchmarks. Technical Report RNR-91-002 Revision 2, NAS Systems Division, NASA Ames Research Center, August 1991.
F. Baude, D. Caromel, C. Dalmasso, M. Danelutto, V. Getov, L. Henrio, and C. Pérez. GCM: A grid extension to fractal for autonomous distributed components. Annals of Telecommunications, 64(1):5–24, 2009.
R. Bellman. Dynamic programming. Science, 153(3731):34–37, 1966.
S. Bezzine, V. Galtier, S. Vialle, F. Baude, M. Bossy, V.D. Doan, and L. Henrio. A Fault Tolerant and Multi-Paradigm Grid Architecture for Time Constrained Problems. Application to Option Pricing in Finance. 2nd IEEE International Conference on e-Science and Grid Computing, Netherlands, December 2006.
F. Black and M. Scholes. The pricing of options and corporate liabilities. The journal of political economy, 81(3):637–654, 1973.
M.D. Dikaiakos. Grid benchmarking: vision, challenges, and current status. Concurrency and Computation: Practice and Experience, 19(1):89–105, 2007.
V.D. Doan, A. Gaikwad, M. Bossy, F. Baude, and F. Abergel. A financial engineering benchmark for performance analysis of grid middlewares. Technical Report 0365, INRIA, 2009.
Doan.V.D. Grid computing for Monte Carlo based intensive calculations in financial derivative pricing applications. PhD thesis, University of Nice-Sophia Antipolis, March 2010. http://www-sop.inria.fr/oasis/personnel/Viet_Dung.Doan/thesis/.
P. Glasserman. Monte Carlo Methods in Financial Engineering. Springer, 2004.
J. Hull. Options, futures, and other derivatives. Prentice Hall, 2000.
D. Lamberton and B. Lapeyre. Introduction to stochastic calculus applied to finance. CRC Press, 1996.
G. Tsouloupas and M.D. Dikaiakos. Gridbench: A tool for benchmarking grids. In Fourth International Workshop on Grid Computing, pages 60–67, 2003.
P. Wilmott. Derivatives: The theory and practice of financial engineering. J. Wiley, 1998.
H. Zhu, Y. Zou, and L. Zha. Vegabench: A benchmark tool for grid system software. In Fifth International Conference on Grid and Cooperative Computing Workshops, pages 543–548. IEEE Computer Society, 2006.
Author information
Authors and Affiliations
Corresponding author
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2012 Springer-Verlag Berlin Heidelberg
About this paper
Cite this paper
Gaikwad, A., Doan, V., Bossy, M., Baude, F., Abergel, F. (2012). SuperQuant Financial Benchmark Suite for Performance Analysis of Grid Middlewares. In: Bock, H., Hoang, X., Rannacher, R., Schlöder, J. (eds) Modeling, Simulation and Optimization of Complex Processes. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-25707-0_9
Download citation
DOI: https://doi.org/10.1007/978-3-642-25707-0_9
Published:
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-25706-3
Online ISBN: 978-3-642-25707-0
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)