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
>
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