基于Intranet的高性能金融仿真平台建立和使用  

Building and Using High-Performance Financial Simulation Platform on Intranet in Java

作　　者：兰蓉[1,2] 郑守淇[1] 桂小林[1] 

机构地区：[1]西安交通大学电子与信息学院 [2]西安交通大学经济与金融学院,陕西西安710064

出　　处：《小型微型计算机系统》2006年第6期1108-1112,共5页Journal of Chinese Computer Systems

基　　金：国家十五"八六三"计划项目(2001AA111081)资助

摘　　要：MonteCarlo仿真是实现金融证券定价及风险评估的主要方法.本文提出在Intranet上利用JAVA简单、快速建立并行MonteCarlo仿真平台的方法.SPMD编程模型用于程序设计,利用eager算法实现负载均衡、容错及适度并行.独立序列作为并行伪随机数生成技术从而保证并行仿真的可用性.股票期权定价及银行信用风险VaR实时计算作为应用,完成实际仿真系统设计及实验.获得理想运行结果.目前,该平台及应用系统可用于金融机构创新服务和风险管理中.Monte Carlo Simulation is one of the most important methods used in derivative security pricing and financial risk estimating. A framework is given to build parallel Monte Carlo simulation platform simply and rapidly by Java in Intranet environment. We used SPMD programming model in the process of program building and eager scheduling algorithm to realize load balancing, failure-tolerance, and adaptive parallelism. Independent series is used as parallel pseudo-random number generation scheme to keep the availability of parallel simulation. Stock option pricing and bank credit risk VaR real-time calculation as applications, real simulation systems and experiment have be accomplished. And ideal running results achieved. Now, the platform and application systems can be used in financial firms to provide risk management and innovation of financial services.

关 键 词：MONTE Carlo仿真 SPMD编程模型 股票期权定价 VAR CreditMetric 分布计算 JAVARMI 

分 类 号：TP311[自动化与计算机技术—计算机软件与理论]