A Cray T3E implementation of a parallel stochastic dynamic assets and liabilities management model

DOI10.1016/S0167-8191(99)00119-2zbMATH Open0939.91052OpenAlexW2145885871MaRDI QIDQ1978669FDOQ1978669

Yanyan Li

Publication date: 4 June 2000

Published in: Parallel Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-8191(99)00119-2

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zbMATH Keywords

financial modelparallel simulationasset liability managementCray T3E

Mathematics Subject Classification ID

Performance evaluation, queueing, and scheduling in the context of computer systems (68M20) Computer system organization (68M99)

Cited In (2)

• High-Performance Computing for Asset-Liability Management
• The AURORA financial management system: Model and parallel implementation design

Uses Software

• MSLiP
• EVPI
• PETSc

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