Financial Computations on Clusters Using Web Services

  • Shirish Chinchalkar
  • Thomas F. Coleman
  • Peter Mansfield
Conference paper
Part of the Lecture Notes in Computer Science book series (LNCS, volume 3515)


The pricing of a portfolio of financial instruments is a common and important computational problem in financial engineering. In addition to pricing, a portfolio or risk manager may be interested in determining an effective hedging strategy, computing the value at risk, or valuing the portfolio under several different scenarios. Because of the size of many practical portfolios and the complexity of modern financial instruments the computing time to solve these problems can be several hours. We demonstrate a powerful and practical method for solving these problems on clusters using web services.


Interest Rate Bond Price Hedging Strategy Callable Bond Future Interest Rate 
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Copyright information

© Springer-Verlag Berlin Heidelberg 2005

Authors and Affiliations

  • Shirish Chinchalkar
    • 1
  • Thomas F. Coleman
    • 1
  • Peter Mansfield
    • 1
  1. 1.Cornell Theory CenterCornell UniversityNew YorkUSA

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