A Grid software platform for valuations and portofolio risk
analysis in mathematical finance
The aim of this one year position is to contribute to
the definition of a software platform in order to run valuation and
portfolio risk analysis in the mathematical finance area. As
financial services are more and more complex to program, deploy and
computational intensive, they are good candidates for grid and
virtualisation solutions (see e.g. Grid in Financial
Services). This platform aims at providing the following features:
- good response time, thanks to the intensive usage of parallelism
and distribution and large amount of computing resources
- a security level compatible with the constraints raised by the
financial institutions
- an easy to use platform, for the programmer and also for the
end-user, which is not mandatorily a computer scientist
- a good level of portability through high-level middleware
The position is to be held within the OASIS
project, which is a joint research project between INRIA
Sophia-Antipolis, Univ. of Nice Sophia-Antipolis, and the CNRS I3S
laboratory, and in strong collaboration with the TOSCA
(ex. OMEGA) INRIA research team. TOSCA provides its competencies in
mathematical
finance. OASIS develops ProActive, an environment for distributed and
grid
programming.
ProActive is a GRID
Java library (Open Source code) for parallel,
distributed, and multi-threaded computing, also featuring mobility and
security in a uniform framework. ProActive provides a comprehensive
toolbox simplifying the programming of parallel applications:
executing on Multicore CPUs, distributed on Local Area Network (LAN),
on clusters, on data-center servers, or on multi-site Grids.
PicsouGrid is the existing software platform for pricing and risk
evaluation in finance developed using ProActive, developed as part of
the ANR French funded project GCPMF "Grille de
Calcul pour les Mathematiques Financieres".
Currently, European Option Pricing and Ibanez-Zapaterro Bermudean
pricing methods are available, and have been subject to parallelisation
and benchmarking efforts using ProActive to deploy on computing grid
resources [1,2,3].
The aim of the position is to pursue this effort, by continuing the
software development and maintenance of PicsouGrid, introducing
alternative parallelised methods of e.g. American/Bermudean option
pricing, continuing PicsouGrid integration within the set of ProActive
based applications, participating with other GCPMF partners to the
project research agenda, collaborations and dissemintation. More
generally, the matter of the research is to push an innovative,
convenient approach for the design, programming, grid deployment and
execution of financial trading services, addressing the complexity of
interaction between the finance and IT roles.
We are expecting a young researcher skilled in distributed Java
programming, software engineering for grid and distributed systems,
possibly already aware of the principles and
computational methods required in mathematical finance (e.g such as
Monte Carlo simulation techniques), and skilled in the
parallelisation of numerical methods.
[1] S. Bezinne, V. Galtier, S. Vialle,
F. Baude, M. Bossy, V. Dung, and L. Henrio.
A fault tolerant and multi-paradigm grid architecture for time
constrained problems. Application to financial option pricing.
In 2nd IEEE International Conference on e-Science and Grid
Computing, December 2006
[2] F. Baude, M. Bossy, V.D. Doan, and I. Stokes-Rees.
Picsougrid - a framework for financial computations on the grid.
In International Symposium of Grid Computing, Taiwan, 2007,
march.
[3] V.D. Doan, M. Bossy, F. Baude, and I. Stokes-Rees.
Comparison of parallel distributed american option pricing: Though
continuation values classification versus optimal exercise boundary
computation.
In Sixth IMACS Seminar on Monte Carlo Methods (MCM
2007)
How to apply:
For immediate consideration, please contact:
mailto:francoise.baude@inria.fr,Patricia.Maleyran@sophia.inria.fr
Important: the Subject has to mention: "MathFi-Grid application"
Include with your application:
- CV
- Motivation letter for this position