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A.B. Alonso-Conde, R. Moreno-Vozmediano. A High Throghput Soution for Portfolio VaR Simulation. WSEAS Transaction on Business and Economics, 1(1):1-6, 2004.


This paper explores the application of Grid computing technology for solving compute-intensive problems in finance. In particular, we propose a high-throughput parallel version of the Monte Carlo algorithm for portfolio VaR simulation, based on a master-worker paradigm, which runs in a Grid environment an obtains a substantial time reduction with regard to the serial algorithm, by exploiting the idle periods of the existing computational resources, like PC's or workstations


[ Grid ] [ Gridway ] [ Tic2002-00334 ]


Rafael Moreno-Vozmediano

BibTex Reference

   Author = {Alonso-Conde, A.B. and Moreno-Vozmediano, R.},
   Title = {A High Throghput Soution for Portfolio VaR Simulation},
   Journal = {WSEAS Transaction on Business and Economics},
   Volume = {1},
   Number = {1},
   Pages = {1--6},
   Publisher = {WSEAS},
   Year = {2004}

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