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Asynchronous peer-to-peer distributed computing for financial applications

Abstract : This paper deals with the numerical solution of financial applications, more specifically the computation of American and European options derivatives modelled by boundary values problems. In such applications we have to solve large-scale algebraic linear systems. We concentrate on synchronous and asynchronous parallel iterative algorithms carried out on peer-to-peer networks. The properties of the operators arising in the discretized problem ensure the convergence of the parallel iterative synchronous and asynchronous algorithms. Computational experiments performed on peer-to-peer networks are presented and analyzed.
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Submitted on : Tuesday, April 17, 2012 - 3:31:02 PM
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Thierry Garcia, Ming Chau, The Tung Nguyen, Didier El Baz, Pierre Spiteri. Asynchronous peer-to-peer distributed computing for financial applications. IPDPSW, IEEE, May 2011, Anchorage, Alaska, United States. pp.1458-1466, ⟨10.1109/IPDPS.2011.292⟩. ⟨hal-00688400⟩



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