✦ LIBER ✦

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

✍ Scribed by Cyril Godart

Publisher: Elsevier Science
Year: 2000
Tongue: English
Weight: 217 KB
Volume: 26
Category: Article
ISSN: 0167-8191
DOI: 10.1016/s0167-8191(99)00120-9

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✦ Synopsis

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 ®nancial world. This work has been carried out on a network of workstations running the Microsoft â Windows NT TM system. Some speci®c 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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