Abstract
In this work, we propose a SaaS model that provides service to ordinary investors, unfamiliar with finance models, to evaluate the price of an option that is currently being traded before taking a decision to enter into a contract. In this model, investors may approach a financial Cloud Service Provider (CSP) to compute the option price with time and/or accuracy constraints. The option pricing algorithms are not only computationally intensive but also communication intensive. Therefore, one of the key components of the methodology presented in this paper is the topology-aware communication between tasks and scheduling of tasks in virtual machines with the goal of reducing the latency of communication between tasks. We perform various experiments to evaluate how our model can map the tasks efficiently to reduce communication latency, hide network latency ensuring that all virtual machines are busy increasing response time of users.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
References
Al-Fares, M., Loukissas, A., Vahdat, A.: A scalable, commodity data center network architecture. SIGCOMM Computer Communication Review 38(4), 63–74 (2008)
Barua, S., Thulasiram, R.K., Thulasiraman, P.: High Performance Computing for a Financial Application Using Fast Fourier Transform. In: Cunha, J.C., Medeiros, P.D. (eds.) Euro-Par 2005. LNCS, vol. 3648, pp. 1246–1253. Springer, Heidelberg (2005)
Boyle, P.: Options: A Monte Carlo approach. J. of Finan. Econ. 4, 223–238 (1977)
Calheiros, R.N., Ranjan, R., Beloglazov, A., De Rose, C.A.F., Buyya, R.: CloudSim: A toolkit for modeling and simulation of cloud computing environments and evaluation of resource provisioning algorithms. Software: Practice and Experience 41(1), 23–50 (2011)
Carr, P., Madan, D.B.: Option valuation using the fast Fourier transform. The Journal of Computational Finance 2(4), 61–73 (1999)
Coti, C., Herault, T., Cappello, F.: MPI Applications on Grids: A Topology Aware Approach. In: Sips, H., Epema, D., Lin, H.-X. (eds.) Euro-Par 2009. LNCS, vol. 5704, pp. 466–477. Springer, Heidelberg (2009)
Cox, J.C., Ross, S.A., Rubinstein, M.: Options pricing: A simplified approach. Journal of Financial Economics 7, 229–263 (1979)
Hull, J.: Options, Futures, and other Derivative Securities. Prentice-Hall (May 2008)
Kandalla, K., Subramoni, H., Vishnu, A., Panda, D.: Designing topology-aware collective communication algorithms for large scale InfiniBand clusters: Case studies with scatter and gather. In: 10th Workshop on Comm. Arch. for Clusters (CAC 2010), Atlanta, USA (April 2010)
Lee, G., Tolia, N., Ranganathan, P., Katz, R.H.: Topology-aware resource allocation for data-intensive workloads. SIGCOMM Comp. Comm. Review 41, 120–124 (2011)
Sharma, B., Thulasiram, R.K., Thulasiraman, P.: Option pricing: A mosaic of experiments and results (Technical Memo CFD058-W10, Computational Financial Derivatives Lab, Department of Computer Science, University of Manitoba (2010), http://www.cs.umanitoba.ca/~tulsi
Solomon, S., Thulasiraman, R.K., Thulasiraman, P.: Option pricing on the gpu. In: The 12th IEEE Int. Conf. on High Perf. Comp. and Comm., Melbourne, Australia (2010)
Thulasiram, R.K., Litov, L., Nojumi, H., Downing, C., Gao, G.: Multithreaded algorithms for pricing a class of complex options. In: Proceedings (CD-RoM) of the IEEE/ACM International Parallel and Distribued Processing Symposium (IPDPS), San Francisco, CA (2001)
Thulasiram, R.K., Zhen, C., Chhabra, A., Thulasiraman, P., Gumel, A.: A second order L0 stable algorithm for evaluating European options. Intl. J. of High Performance Computing and Networking (IJHPCN) 4, 311–320 (2006)
Volckaert, B., Thysebaert, P., De Leenheer, M., De Turck, F., Dhoedt, B., Demeester, P.: Network aware scheduling in grids. In: Proceedings of the 9th European Conference on Networks & Optical Communications (NOC 2004), Eindhoven, Netherlands (June 2004)
Author information
Authors and Affiliations
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2012 Springer-Verlag Berlin Heidelberg
About this paper
Cite this paper
Garg, S.K., Sharma, B., Calheiros, R.N., Thulasiram, R.K., Thulasiraman, P., Buyya, R. (2012). Financial Application as a Software Service on Cloud. In: Parashar, M., Kaushik, D., Rana, O.F., Samtaney, R., Yang, Y., Zomaya, A. (eds) Contemporary Computing. IC3 2012. Communications in Computer and Information Science, vol 306. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-32129-0_19
Download citation
DOI: https://doi.org/10.1007/978-3-642-32129-0_19
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-32128-3
Online ISBN: 978-3-642-32129-0
eBook Packages: Computer ScienceComputer Science (R0)