{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,10,8]],"date-time":"2025-10-08T16:17:58Z","timestamp":1759940278673,"version":"3.38.0"},"reference-count":24,"publisher":"SAGE Publications","issue":"2","license":[{"start":{"date-parts":[[1991,6,1]],"date-time":"1991-06-01T00:00:00Z","timestamp":675734400000},"content-version":"tdm","delay-in-days":0,"URL":"https:\/\/journals.sagepub.com\/page\/policies\/text-and-data-mining-license"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["The International Journal of Supercomputing Applications"],"published-print":{"date-parts":[[1991,6]]},"abstract":"<jats:p> The valuation of complex financial instruments that ap pear in the banking and insurance industries requires simulations of their cashflow behavior in a volatile in terest rate environment. These simulations are complex and computationally intensive. Their use, thus far, has been limited to intra-day analysis and planning. Re searchers at the Wharton School and Thinking Machines Corporation have developed model formulations for massively parallel architectures, like the Connection Ma chine CM-2. A library of financial modeling primitives has been designed and used to implement a model for the valuation of mortgage-backed securities. Analyzing a portfolio of these securities\u2014which would require 2 days on a large mainframe\u2014is carried out in 1 hour on a CM-2a. The valuation of a single security is carried out in real time (1-2 sec). It has been possible to design an interactive system that carries out sensitivity analysis, compares securities, or changes the assumptions of the model, and display the result under direct control from an analyst. <\/jats:p>","DOI":"10.1177\/109434209100500203","type":"journal-article","created":{"date-parts":[[2007,3,18]],"date-time":"2007-03-18T05:39:00Z","timestamp":1174196340000},"page":"28-46","source":"Crossref","is-referenced-by-count":17,"title":["Financial Simulations On a Massively Parallel Connection Machine"],"prefix":"10.1177","volume":"5","author":[{"given":"James M.","family":"Hutchinson","sequence":"first","affiliation":[{"name":"THINKING MACHINES CORPORATION CAMBRIDGE, MASSACHUSETTS\rAND THE WHARTON SCHOOL UNIVERSITY OF PENNSYLVANIA PHILADELPHIA, PENNSYLVANIA"}]},{"given":"Stavros A.","family":"Zenios","sequence":"additional","affiliation":[{"name":"THINKING MACHINES CORPORATION CAMBRIDGE, MASSACHUSETTS\rAND THE WHARTON SCHOOL UNIVERSITY OF PENNSYLVANIA PHILADELPHIA, PENNSYLVANIA"}]}],"member":"179","published-online":{"date-parts":[[1991,6,1]]},"reference":[{"volume-title":"An economic approach to valuation of single premium deferred annuities","year":"1991","author":"Asay, M.R.","key":"atypb1"},{"volume-title":"Mortgage-backed securities: products, analysis and trading","year":"1989","author":"Bartlett, W.W.","key":"atypb2"},{"volume-title":"A one-factor model of interest rates and its application to treasury bond options","year":"1988","author":"Black, F.","key":"atypb3"},{"volume-title":"Vector models for data-parallel computing","year":"1990","author":"Blelloch, G.E.","key":"atypb4"},{"volume-title":"s in debt option models. 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Working paper","year":"1988","author":"Hayre L.","key":"atypb10"},{"volume-title":"The Connection Machine","year":"1985","author":"Hillis, W.D.","key":"atypb11"},{"key":"atypb12","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1986.tb02528.x"},{"journal-title":"Financial Management","year":"1987","author":"Jacob, D.P.","key":"atypb13"},{"journal-title":"Management Sciences","year":"1990","author":"Kang, P.","key":"atypb14"},{"key":"atypb15","first-page":"16","author":"Pavel, C.","year":"1986","journal-title":"Economic Perspective"},{"volume-title":"An introduction to the mortgage market and mortgage analysis. Mortgage Securities Research Series","year":"1987","author":"Pinkus, S.M.","key":"atypb16"},{"volume-title":"Controlling interest rate risk: new techniques & applications for money management","year":"1986","author":"Platt, R. B.","key":"atypb17"},{"volume-title":"Numerical recipes in C. 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Technical Report","year":"1989","author":"Wallace, N.E.","key":"atypb23"},{"volume-title":"Parallel Monte Carlo simulation of mortgage backed securities","year":"1991","author":"Zenios, S.A.","key":"atypb24"}],"container-title":["The International Journal of Supercomputing Applications"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/journals.sagepub.com\/doi\/pdf\/10.1177\/109434209100500203","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/journals.sagepub.com\/doi\/pdf\/10.1177\/109434209100500203","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,3,2]],"date-time":"2025-03-02T08:02:29Z","timestamp":1740902549000},"score":1,"resource":{"primary":{"URL":"https:\/\/journals.sagepub.com\/doi\/10.1177\/109434209100500203"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[1991,6]]},"references-count":24,"journal-issue":{"issue":"2","published-print":{"date-parts":[[1991,6]]}},"alternative-id":["10.1177\/109434209100500203"],"URL":"https:\/\/doi.org\/10.1177\/109434209100500203","relation":{},"ISSN":["0890-2720"],"issn-type":[{"type":"print","value":"0890-2720"}],"subject":[],"published":{"date-parts":[[1991,6]]}}}