Super Quant Monte-Carlo Challenge - V Grid Plugtests

1) 2008 Super Quant Monte-Carlo Challenge - V Grid Plugtests

The goal of the "2008 Super Quant Monte Carlo" challenge is to design and develop a Grid-enabled Option Pricing application, for pricing high dimensional European options or first generation exotic options, that can cope up with time critical intense computational demand for complex pricing requests.

The participants will have to deploy their option pricing application in a Grid environment using the ETSI GCM (the Grid Component Model) Interoperability deployment standard. We will provide a ready-to-use Open Source implementation of this standard with the ProActive Parallel Suite. The participants can use any other middlewares to develop their applications as long as they deploy their application with the GCM standard. To test robustness, scalability, and responsiveness, the application will have to go through the challenge of pricing an industry size batch of basket options (derivative products) within an assigned time slot. The application will be judged by a panel of experts and the winning team will take home the title of "Super Quant 2008".

The participation to this challenge, including the preliminary qualification tests, is free of charge. However, the participants that wish to participate in the Face to Face challenge in Sophia Antipolis (20th October - 23rd October 2008) have to register (for free) and pass preliminary qualification tests (1st September - 1st October 2008). Registration for the event is available here.

No prior knowledge of Finance or Derivative pricing is necessary in order to participate in the challenge.

To facilitate the participation of the teams we have provided a fully functional, ProActive based prototype of this challenge. The teams with no finance experties can refer the source code for finance related algorithms. Whereas, the teams with finance background but no knowledge of Grid Computing can also refer the source code and understand how easy it is to develop large scale applications using the ProActive Parallel Suite.

4) Downloads

Full contest description : [pdf] and Appendix [pdf]

Full implementation to start from : [tgz] [zip]

Input data set : [zip]

Evaluation package : [zip]

3) Useful links

1. How To Prepare for the Plugtests 2008.
   
   
2. Monte Carlo Methods in Parallel Computing
   
   
3. Option pricing by simulation - a basic primer
   
   
4. European call and put options, The Black Scholes analysis.

4) Miscellaneous

1. For the latest updates and contest related questions, please subscribe to the Grid Plugtest mailing list (PLUGTESTS-GRID@LIST.ETSI.ORG) and the ProActive mailing list (proactive@ow2.org).
   
   
2. For other technical/nontechnical questions regarding the overall event contact us : Viet_Dung.Doan@sophia.inria.fr
   Abhijeet.Gaikwad@sophia.inria.fr
   
3. Do you want to provide machines or clusters to the Plugtests? To be a part of this event click here.
   
   

5) Publications

1. A Financial Engineering Benchmark for Performance Analysis of Grid Middlewares.
   Viet-Dung Doan, Abhijeet Gaikwad, Mireille Bossy, Francoise Baude, and Frederic Abergel. INRIA Research Report. No. 365, June 2009. PDF



2. SuperQuant Financial-Benchmark Suite for performance analysis of Grid Middlewares.
   Abhijeet Gaikwad, Viet-Dung Doan, Mireille Bossy, and Francoise Baude. Submitted to the International Conference on High Performance Scientific Computing Simulation, Modeling and Optimization of Complex Processes 2009.  Submitted PDF.