Grid Services for Derivatives Pricing

The growth of derivatives markets combined with the rising complexity of the issued products and stricter regulatory requirements are leading to an increased demand for compute power. At the same time, derivatives valuation systems and ma ny other financial applications are forced to support shorter financial products life-cycles, rea l-time valuation and risk management in a cost effective, secure and scalable way. We have develop ed a simulation based derivatives valuation toolkit for the parallel valuation of multi-dimensi onal European-, Bermudian- and American- style options which can be easily extended with new product functions. This application has been deployed as a valuation service within the GEM SS grid infrastructure, enabling the secure invocation from a Microsoft Excel client of distinc t derivatives valuation services of internal or external service providers. The experiences made wi th this prototype are used in the NextGRID project for the definition of requirements for next generation Grid architectures adapted to business application needs and the construction of revised Grid enabled applications for derivatives valuation and robust portfolio optimiza tion.