Financial Derivatives Systems Development

Overview

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Derivatives are financial instruments whose value changes in response to changes in underlying variables such as stock values and interest rates, stock options is one example of a derivative.
By utilizing servers equipped with Cell/B.E. this project speeds up the valuation systems for “exotic derivatives” which have very complex valuation processes even when compared to other types of derivatives. By maximizing the computational capabilities of the Cell/B.E., exotic derivative valuations execution times can be greatly reduced, which makes possible such tasks as real-time risk assessments and massive volumes of exotic derivative valuations within limited amounts of time.

Comment

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The defining aspect of this project is the process of building a system by combining state of the art financial engineering with leading edge multicore technology. The point that is most appealing to multicore engineers is the process of understanding the extreme complexity of exotic derivatives valuations while speeding up its execution times through parallelization.
Also derivative systems handle massive volumes of data and conduct vast amounts of computation; therefore, they require very large scale distributed systems. In order to develop these types of systems, optimization in the order of milliseconds on the Cell/B.E. is required. Obtaining maximum performance through utilization of multiple servers equipped with Cell/B.E. while taking into account the links with their surrounding systems is also required, while understanding this type of multifaceted viewpoint.
There are also many things to learn, such as how to build leading edge technology into legacy administrative systems.