Large Scale Distribution of Stochastic Control Algorithms for Financial Applications

Overview & Synopsis

This paper introduces the distribution of a stochastic control algorithm which is applied to gas storage valuation, and presents its experimental performances on two PC clusters and an IBM Blue Gene/L supercomputer. This research is part of a French national project which gathers people from the academic world (computer scientists, mathematicians, ...) as well as people from the industry of energy and finance in order to provide concrete answers on the use of computational clusters, grids and supercomputers applied to problems of financial mathematics. The designed distribution allows to run gas storage valuation models which require considerable amounts of computational power and memory space while achieving both speedup and size-up: it has been successfully implemented and experimented on PC clusters (up to 144 processors) and on a Blue Gene supercomputer (up to 1024 processors). Finally, our distributed algorithm allows to use more computing resources in order to maintain constant the execution time while increasing the calculation accuracy.