Using Premia and Nsp for constructing a risk management benchmark for testing parallel architecture-Reference-Cited by-同舟云学术

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Using Premia and Nsp for constructing a risk management benchmark for testing parallel architecture

Published:2012-06-20 Issue:9 Volume:26 Page:1654-1665
ISSN:1532-0626
Container-title:Concurrency and Computation: Practice and Experience
language:en
Short-container-title:Concurrency Computat.: Pract. Exper.

Author:

Chancelier Jean-Philippe¹,Lapeyre Bernard¹,Lelong Jérôme²

Affiliation:

1. Université Paris-Est; CERMICS, École des Ponts; 6 & 8 av. B. Pascal 77455 Marne-la-Vallée France

2. Laboratoire Jean Kuntzmann; Université de Grenoble et CNRS; BP 53 38041 Grenoble Cédex 9 France

Publisher

Wiley

Subject

Computational Theory and Mathematics,Computer Networks and Communications,Computer Science Applications,Theoretical Computer Science,Software

Reference8 articles.

1. Basel II: Revised international capital framework http://www.bis.org/bcbs

2. Basel Committee on Banking Supervision International convergence of capital measurement and capital standards Technical Report 2006

3. MathFi Research Group A platform for pricing financial derivatives Technical Report 2008 http://www-rocq.inria.fr/mathfi/Premia

4. Nsp http://cermics.enpc.fr/~jpc/nsp-tiddly/mine.html

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1. Special issue on computational finance;Concurrency and Computation: Practice and Experience;2014-03-06

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