Design of high performance financial modelling environment

The aim of our system is to generate solution code from a high level specif ication of a financial instrument. Solution code calculates prices and hedg e ratios which are partial derivatives of the price with respect to various parameters, The user manipulates a representation of the problem at the do main level, with the complexities of the computer implementation hidden. As many of the problems have no analytical solution, symbolic transformations manipulate the equations specifying the stochastic model and instrument in to forms that can be solved numerically. Techniques such as finite differen ces, spectral methods and Monte Carlo simulation are provided in sequential and parallel versions. The mathematical correctness of the transformation steps is examinable as is the degree of error introduced by approximating t ransformations. We include examples for the Black-Scholes model and for the Hull White stochastic volatility model. A Linux cluster is used to price a n Asian option using the Hull White SV model. (C) 2000 Elsevier Science B.V . All rights reserved.