
After introducing the Value at Risk in my first article, I have implemented it using GridGain in my second article. I conclude in this latter that relatively good performances have been reached through some optimizations. One of them was based on the hypothesis that the intermediate results - the prices for each draw - can be discarded. However, it is not always the case. Keeping the generated parameters and the call price for each draw can be very useful for business in order to analyze…
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