Web-Based Parallel Monte Carlo Simulation Platform for Financial Computation

作     者：LAN Rong ZHENG Shou-qi GUI Xiao-lin 

作者机构：School of Electronic and Information Xi＇an Jiaotong University Xi＇an 710049 Shaanxi China School of Economic and Finance Xi＇an Jiaotong University Xi＇an 710064 Shaanxi China 

出 版 物：《Wuhan University Journal of Natural Sciences》 (武汉大学学报（自然科学英文版）)

年 卷 期：2006年第11卷第1期

页      面：151-154页

核心收录：

学科分类：120201[管理学-会计学] 12[管理学] 1202[管理学-工商管理] 08[工学] 080402[工学-测试计量技术及仪器] 0804[工学-仪器科学与技术] 

基　　金：Supported by the National 863 High TechnologyDevelopment of China (2001AA111081) 

主　　题：Web-based simulation distributed computing Monte Carlo simulation stock option pricing 

摘      要：Using Java, Java enabled Web and object-oriented programming technologies, a framework is designed to or ganize multicornputer system on lntranet quickly to complete Monte Carlo simulation parallelizing, The high-performance computing enviromnent is embedded in Web server so it can be accessed more easily. Adaptive parallelism and eager scheduling algorithm are used to realize load balancing, parallel processing and system fault-tolerance. Independent sequence pseudo-randorn number generator schemes to keep the parallel simulation availability. Three kinds of stock option pricing models as instances, ideal speedup and pricing results obtained on test bed. Now, as a Web service, a high-performance financial derivative security-pricing platform is set up for training and studying. The framework can also be used to develop other SPMD （single procedure multiple data） application. Robustness is still a major problem for further research.