Parallel implementation of a two-factor Cheyette-beta model calibration

DOI10.1016/S0167-8191(99)00120-9MaRDI QIDQ1978671zbMATH OpenFDO

Authors C. Godart

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)00120-9

zbMATH Keywords

calibration of interest rate modelsload balancingmessage passingparallel event-driven applicationparallelism

Mathematics Subject Classification ID

Applications of statistics in engineering and industry; control charts (62P30)

Review text

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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Cited in

(1)

• An efficient parallel implementation of a lattice pricing model

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