Scalable system with accelerators for financial option prices estimation
by D. Dimitrov; E. Atanassov
International Journal of Data Science (IJDS), Vol. 1, No. 4, 2016

Abstract: In this paper we describe a production-ready enterprise service bus (ESB) system for estimation of option prices using stochastic volatility models. We present the motivation for our research, the main building blocks for our system and discuss our approach for calibration of the Heston model. The Heston model is used as a basis for modelling the evolution of asset prices. The Zato framework is used as an integration layer, while the main computations are distributed to HPC resources (GPUs and Intel Xeon Phi cards). The system can use various data sources and scales from both infrastructure and software point of view. The main advantage of the system is that by incorporating general-purpose computing on graphics processing units (GPGPU) and Intel Xeon Phi nodes it allows for the use of more accurate models that are otherwise unfeasible. This system can be useful for distributed processing of a large volume of option pricing tasks.

Online publication date: Fri, 06-Jan-2017

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