Asynchronous peer-to-peer distributed computing for financial applications

Thierry Garcia (1, 2) , Ming Chau (3) , The Tung Nguyen (4) , Didier El Baz (4) , Pierre Spitéri (1, 2)

1 IRIT-TCI - Traitement et Compréhension d’Images
2 Toulouse INP - Institut National Polytechnique (Toulouse)
3 ASA - Advanced Solutions Accelerator
4 LAAS - Laboratoire d'analyse et d'architecture des systèmes

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.

Domaines: Autre [cs.OH]

Thierry Garcia, Ming Chau, The Tung Nguyen, Didier El Baz, Pierre Spitéri. Asynchronous peer-to-peer distributed computing for financial applications. IEEE International Symposium on Parallel and Distributed Processing Workshops and Phd Forum (IPDPSW 2011), IEEE, May 2011, Anchorage, Alaska, United States. pp.1458-1466, ⟨10.1109/IPDPS.2011.292⟩. ⟨hal-00688400⟩