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We developed new algorithms for risk neutral valuation of derivative financial instruments
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Theoretical prices of derivative instruments are obtained by discounting their expected payoffs under the equivalent martingale measure using money market interest rate.
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The core algorithm is Path Integral Monte Carlo which used to generate arbitrary distributions of underlying risk factors (stocks, bonds, short interest rates, commodities, indices etc.)
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The advantage of the new algorithm is that sensitivities of derivative prices with respect to changes in all model parameters are computed in a single simulation.
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This is crucial for effective hedging.
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Parallel version of the algorithm is written in C and MPI and relies on task parallelism and functional decomposition (could also use HPF)
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Monte Carlo samples are generated on multiple processors in embarrassingly parallel fashion
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