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Overview of the BE

EGEE’2006 – ITG Session BE11- Risk Management in Finance Hélène Huard CRSA- Ecole Centrale Paris helene.huard@ecp.fr. Overview of the BE. Grid Technologies for time constrained problems arising in finance and insurance sectors. Datas. Inputs. New streams. Service provider.

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Overview of the BE

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  1. EGEE’2006 – ITG Session BE11- Risk Management in Finance Hélène Huard CRSA- Ecole Centrale Parishelene.huard@ecp.fr

  2. Overview of the BE Grid Technologies for time constrained problems arising in finance and insurance sectors Datas Inputs New streams Service provider BE 11 - Grid testbed and experiments Coordinator Financial markets Algorithmic Industrial use of gLite End user Inputs Marketing of new VLBGs An 18-month experiment to prove the benefits of the Grid for financial products pricing

  3. Main Objectives and Challenges The goal of BE11 is to exhibit the benefits of Grid Computing for financial problems requiring cumbersome computations (exotic equity derivatives, variable life benefits guarantees) • Business Innovation • Integrate Monte Carlo based pricing kernels with Fininfo real time data streams • Achieve an accurate pricing of new products never traded before in Europe • Strengths • Ideal complementarity of BE partners • CRSA's past experience in the field exotic pricing on Globus • Technical Challenge • Prove the possibility of an industrial use of the gLite middleware

  4. Expected Results & Impact Outputs Scientific : Parallel algorithms for PDE pricing Technical : Monte Carlo pricing kernels on two middlewares Business : Integrated librairies for real-time pricing Business Impact Increase the liquidity of the studied exotic products Allow the the creation of new products

  5. Any additional information about BE • Grid Technology • Globus Toolkit 4.0 and gLite 3.0 • Support from EGEE project • Computational Financial • Low-level “gridification” of financial algorithms • Innovative PDE pricing for high-dimensional case • BE11 gLite training • gLIte Installation, Paris, October 10-12 • Training in Paris, October 13 • API training, Paris November 15

  6. Application needs • Organisation • 2 middlewares • gLite functionnalities needed • External testbed vs EGEE resources • Installation at Ecole Centrale, then at BE11 partners’ • Timescale • Installation October 2006 at Ecole Centrale, later on at Fininfo and Axa • Training • Training sessions on October 13 and October 15 • Support

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