Instant pricing and risk calculation of exotic financial derivative instruments is essential in the process of risk management and trading performed by financial institutions. Due to the lack of analytical solutions for pricing of such instruments, systems require the use of computationally intensive Monte-Carlo methods. Despite using extensive computational power of clusters or grids, these calculations are usually difficult to complete in real-time, as the rate of the incoming market data is too high to handle.The objective of this paper is to present a certain phenomenon existing in the pricing and risk management systems. The phenomenon is based on an interplay of intense computational requirements for single calculation, with frequent change in the environment state. A suggested abstraction leads to a definition of a Balancing Real-time Computational Model.An implementation of the solution to the problem is presented as an optimalisation task. It is based on a distance function quantifying the degree of the imbalance of the system.
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.