Performance optimization of financial option calculations

✍ Scribed by S.C. Perry; R.H. Grimwood; D.J. Kerbyson; E. Papaefstathiou; G.R. Nudd

• Book ID: 104304816
• Publisher: Elsevier Science
• Year: 2000
• Tongue: English
• Weight: 305 KB
• Volume: 26
• Category: Article
• ISSN: 0167-8191
• DOI: 10.1016/s0167-8191(99)00123-4

✦ Synopsis

This paper is concerned with optimizing ®nancial programs through the use of performance models to promote the best use of available computational resources. The work necessarily focuses on run-time optimization, where a performance model of the program is combined with knowledge of run-time conditions (such as input data and system state) to produce information useful in the optimization process. Two speci®c techniques are presented: a method for dynamically selecting the best algorithm for pricing a particular ®nancial product based on run-time performance data (optimization at the single calculation level), and a method of using performance data with heuristic techniques for run-time scheduling of a large number of option-pricing calculations (both sequential and parallel) over the entire computer system. Demonstrations of these techniques for example calculations and resources typically used in ®nancial institutions are also described.