Performance optimization of financial option calculations

This paper is concerned with optimizing financial programs through the use of performance models to promote the best use of available computational resources, The work necessarily focuses on run-time optimization, where a performance model of the program is combined with knowledge of run-time conditions (such as input data and system state) to produce information useful in the optimization process. Two specific techniques are presented: a method for dynamically selecting the best algorithm for pricing a particular financial product based on run-time performance data (optimization at the single calculation level), and a method of using performance data with heuristic techniques for run-time scheduling of a large number of option-pricing calculations (both sequential and parallel) over the entire computer system. Demonstrations of these techniques for example calculations and resources typically used in financial institutions are also described, (C) 2000 Elsevier Science B.V. All rights reserved