Parallel implementation of a two-factor Cheyette-beta model calibration (Q1978671)

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Parallel implementation of a two-factor Cheyette-beta model calibration
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    Parallel implementation of a two-factor Cheyette-beta model calibration (English)
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    4 June 2000
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    A parallel version of a calibration algorithm for a two-factor Cheyette-beta model using the Levenberg-Marquardt algorithm is presented. A new development environment for parallel applications, based on the event-driven parallel application model is introduced. Advantages and drawbacks of such a model are discussed and it is argued why it is particularly suitable in the financial world. This work has been carried out on a network of workstations running the Microsoft Windows NT system. Some specific implementation issues related to this system are also addressed. The results are presented which are obtained on a real scale farm of 16 machines.
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    calibration of interest rate models
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    parallelism
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    parallel event-driven application
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    load balancing
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    message passing
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