NDLI: New computational architectures for pricing derivatives

Content Provider	IEEE Xplore Digital Library
Author	Freedman, R.S. Di Giorgio, R.
Copyright Year	1996
Description	Author affiliation: Inductive Solutions Inc., New York, NY, USA (Freedman, R.S.)
Abstract	The problem that concerns us is the cost-effective computation of the expected value of a derivative security. One should not separate the method of computing the expected present value of a structured security from its ultimate computing topology. In particular, the network infrastructure is as least as important a factor in cost-effective computing as the algorithm design and its processor implementation. We investigate the network issues involved with deploying sophisticated derivative analytics on a modern computer network. We show that same technology that can be used to exploit parallelism can also be used to deploy sophisticated analytics to authorized users in a cost-effective way that is secure, easily updatable and relatively machine-independent. We put these ideas to practice by extending our derivative computation system, which was used to compare the derivative valuations on various computing network architectures. The benchmark problem computes an American "put" option under various interest rate scenarios using a combination of binomial lattice and Monte Carlo methods. We rebuilt the system as an executable derivative calculator applet. It is currently viewable on any Java-enabled Web Browser on the World Wide Web, independent of the computer processor or operating system. It also exploits parallelism: it uses any processor available on its local host to automatically speed itself up.
Starting Page	14
Ending Page	19
File Size	718234
Page Count	6
File Format	PDF
ISBN	0780332369
DOI	10.1109/CIFER.1996.501817
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	1996-03-24
Publisher Place	USA
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Computer architecture Pricing Computer networks Parallel processing Network topology Process design Algorithm design and analysis Cost accounting Economic indicators Lattices
Content Type	Text
Resource Type	Article

Sl.	Authority	Responsibilities	Communication Details
1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
5	Website/Portal (Helpdesk)	Queries regarding NDLI and its services	support@ndl.gov.in
6	Contents and Copyright Issues	Queries related to content curation and copyright issues	content@ndl.gov.in
7	National Digital Library of India Club (NDLI Club)	Queries related to NDLI Club formation, support, user awareness program, seminar/symposium, collaboration, social media, promotion, and outreach	clubsupport@ndl.gov.in
8	Digital Preservation Centre (DPC)	Assistance with digitizing and archiving copyright-free printed books	dpc@ndl.gov.in
9	IDR Setup or Support	Queries related to establishment and support of Institutional Digital Repository (IDR) and IDR workshops	idr@ndl.gov.in

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