Re: [Quantlib-dev] QuantLib-dev Digest, Vol 16, Issue 9

[Roger T. <rog...@ii...>]

Thanks for your reply. I thought of that as well but not so sure where to 
start. I used to write multi-threaded program and parallel programs on a 
unix cluster. I thought it would be an interesting
project. I know @RISK has a parallel implementation of Monte Carlo 
simulation. Just wondering how do they actually do it....

>>     I am new to this area of study. I am wondering is there any
>> problems in quantitative finance that need the design of efficient and
>> parallel algorithms especially in the area of derivative pricing?
>
> Hi Roger,
> since nobody else seems to answer, I'll just state the obvious---Monte
> Carlo simulations.
> Another possibility might be rolling back an asset on a tree; at any
> step, different result nodes are independent and could be calculated
> simultaneously.
>
> Luigi
>