Financial simulations on a massively parallel Connection Machine

Journal Article · Tue Jan 01 00:00:00 EST 1991 · International Journal of Supercomputer Applications; (United States)

DOI:https://doi.org/10.1177/109434209100500203· OSTI ID:6363803

Hutchinson, J M; Zenios, S A ^[1]

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1. Thinking Machine Corp., Cambridge, MA (US)

This paper reports on the valuation of complex financial instruments that appear in the banking and insurance industries which requires simulations of their cashflow behavior in a volatile interest rate environment. These simulations are complex and computationally intensive. Their use, thus far, has been limited to intra-day analysis and planning. Researchers at the Wharton School and Thinking Machines Corporation have developed model formulations for massively parallel architectures, like the Connection Machine CM-2. A library of financial modeling primitives has been designed and used to implement a model for the valuation of mortgage-backed securities. Analyzing a portfolio of these securities-which would require 2 days on a large mainframe-is carried out in 1 hour on a CM-2a.

• OSTI ID: 6363803
• Journal Information: International Journal of Supercomputer Applications; (United States), Vol. 5:2; ISSN 0890-2720
• Country of Publication: United States
• Language: English

Related Subjects

29 ENERGY PLANNING
POLICY AND ECONOMY
99 GENERAL AND MISCELLANEOUS//MATHEMATICS, COMPUTING, AND INFORMATION SCIENCE
ACCOUNTING
COMPUTERIZED SIMULATION
ARRAY PROCESSORS
SUPERCOMPUTERS
PARALLEL PROCESSING
ARTIFICIAL INTELLIGENCE
COMPUTER ARCHITECTURE
FINANCING
SENSITIVITY ANALYSIS
COMPUTERS
DIGITAL COMPUTERS
PROGRAMMING
SIMULATION
290200* - Energy Planning & Policy- Economics & Sociology
990200 - Mathematics & Computers