implementation of monte carlo simulation in a distributed computing environment
The paper presents an approach for achieving better performance of Monte Carlo simulation by implementing the process in a distributed computing environment. The simulation process is analyzed and sub processes, suitable for parallel execution are defined. The proposed approach is demonstrated by applying Monte Carlo simulation for evaluating the market risk of a financial position in an experimental distributed computing environment. Comparison data, obtained by carrying out the same simulation in an environment with one computer and in distributed environment, are presented and analyzed.
monte carlo simulation distributed computing environment high throughput computing