High Performance Computing for a Financial Application Using Fast Fourier Transform

• Published in: Euro-Par 2005 Parallel Processing pp. 1246 - 1253
• Main Authors: Barua, Sajib, Thulasiram, Ruppa K., Thulasiraman, Parimala
• Format: Book Chapter Conference Proceeding
• Language: English
• Published: Berlin, Heidelberg Springer Berlin Heidelberg 2005; Springer
• Series: Lecture Notes in Computer Science
• Subjects: Applied sciences; Computer science; control theory; systems; Computer systems and distributed systems. User interface; Data locality; Exact sciences and technology; Fast Fourier transform; HPC for commercial application; Mathematical modeling; Option pricing; Parallel algorithm; Software; High performance; Parallel algorithm; Fast Fourier transformation; Finance; Grid; Spacing; Distributed system; Distributed computing; Modeling; Storage access; Lying; Pricing; Tariffication
• ISBN: 3540287000; 9783540287001
• ISSN: 0302-9743; 1611-3349
• DOI: 10.1007/11549468_136

Fast Fourier Transform (FFT) has been used in many scientific and engineering applications. In the current study, we have applied the FFT for a novel application in finance. We have improved a recently proposed mathematical model of Fourier transform technique for pricing financial derivatives to help design and develop an effective parallel algorithm using a swapping technique that exploits data locality. We have implemented our algorithm on 20 node SunFire 6800 high performance computing system and compared the new algorithm with the traditional Cooley-Tukey algorithm We have presented the computed option values for various strike prices with a proper selection of strike-price spacing to ensure fine-grid integration for FFT computation as well as to maximize the number of strikes lying in the desired region of the asset price.