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Publications

2005

  1. R. Hochreiter, C. Wiesinger and D. Wozabal. Large-Scale Computational Finance Applications on the Open Grid Service Environment. In Sloot, P.M.A. et al., eds.: European Grid Conference 2005. Amsterdam, The Netherlands. Volume 3470 of Springer Lecture Notes in Computer Science., Springer (2005) 891-899

2004

  1. C. Wiesinger, D. Giczi and R. Hochreiter. An open grid service environment for large-scale computational finance modeling systems. In Bubak, M., Albada, G.D.v., Sloot, P.M.A., Dongarra, J.J., eds.: International Conference on Computational Science 2004. Krakow, Poland. Part I. Volume 3036 of Springer Lecture Notes in Computer Science., Springer (2004) 83-90

2003

  1. G. Pflug, R. Hochreiter. Scenario generation for multi-stage decision models: an apporach based on multidimensional facility location. Technical Report 2003-01, Department of Statistics and Decision Support Systems, University of Vienna, 2003
  2. G. Ch. Pflug, L. Halada, M. Lucka. Parallel Implementation of Birge and QI Method for Three-Stage Stochastic Programs Using IPM. Technical Report AURORA TR 2003-08, University of Vienna, 2003.
  3. H. Moritsch, G. Ch. Pflug. Java Implementation of Synchronous Parallel Nested Optimization Algorithms. Technical Report AURORA TR 2003-04, University of Vienna, 2003.
  4. H. Moritsch, G. Ch. Pflug, M. Siomak. Asynchronous nested optimization algorithms and their parallel implementation. Technical Report AURORA TR 2003-03, University of Vienna, 2003.

2002

  1. R. Hochreiter, G. Ch. Pflug. Scenario Tree Generation as a Multidimensional Facility Location Problem. Technical Report AURORA TR 2002-33, University of Vienna, 2002.
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  2. H. Moritsch, G. Ch. Pflug. Polynominal Algorithms for pricing path dependent contracts. Technical Report AURORA TR 2002-32, University of Vienna, 2002.
  3. T. Fahringer, F. Franchetti, M. Geissler, G. Madsen, H. Moritsch, R. Prodan. On Using ZENTURIO for Performance and Parameter Studies on Clusters and Grids. Technical Report AURORA TR 2002-20, University of Vienna, 2002.
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  4. T. Fahringer, B. Di Martino, A. Jugravu, H. Moritsch, S. Venticinque. On the Evaluation of JavaSymphony for Cluster Applications. Technical Report AURORA TR 2002-16, University of Vienna, 2002.
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  5. T. Fahringer, G. Madsen, A.D. Malony, H. Moritsch, S. Schende, H.-L. Truong. On using SCALEA for Performance Analysis of Distributed and Parallel Programs. Technical Report AURORA TR 2002-13, University of Vienna, 2002.
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  6. G.Ch.Pflug, L.Halada. Birge and Qi Method for Three-stage Stochastic Programs Using IPM. In Proceedings of Computational Science-ICCS 2002 (Eds: P.M.A. Sloot et.al.), LNCS 2329, 206-215, Amsterdam, 2002.
  7. G.Ch.Pflug, L.Halada. Recursive and Parallel Structures in Multistage Stochastic Linear Programming: An Extension of the Birge and Qi Method for IPM. Technical report AURORA TR 2002-02, University of Vienna, 2002.
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2001

  1. G.Ch.Pflug: Scenario tree generation for multiperiod financial optimization by optimal discretization. Math. Programming, Ser. B 89, 251-257 (2001)
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  2. G.Ch.Pflug, L.Halada : Birge and Qi Method for Three-stage Stochastic Programs Using IPM. Technical report AURORA TR 2001-12, University of Vienna, 2001.
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  3. T.Fahringer, H.Truong, G.Madsen, A.Malony, H.Moritsch, S.Shende: On Using SCALEA for Performance Analysis of Distributed and Parallel Programs. In Proceedings of the 9th IEEE High-Performance Networking and Computing Conference, SCī2001. November 2001, Denver, Colorado.
  4. T.Fahringer, K.Sowa, P.Czerwinski, J.Luitz, H.Moritsch: On Using SPiDER to Examine and Debug Real-Word Data- Parallel Applications. In Proceedings of 6th International Conference on Parallel Computing Technologies. PACT-2001, September 2001, Novosibirsk, Russia.
  5. E.Laure, H.Moritsch: Portable Parallel Portfolio Optimization in Aurora Financial Management System. Proceedings of SPIE ITCom 2001 Conference: Commercial Applications for High-Performance Computing. August 2001.
  6. H.Moritsch, G.Ch.Pflug: Java implementation of Asynchronous Parallel Nested Optimization Algorithms. In Proceedings of 3rd Workshop on Jawa for High Performance Computing. June 2001, Sorrento, Italy.
  7. H.Moritsch, G.Ch.Pflug and M.Siomak: Asynchronous Nested Optimization Algorithms and their parallel implementation. In Proceedings of International Software Engineering Symposium. March 2001,Wuhan, China.

2000

  1. G.Ch.Pflug: Some remarks on the Value-at-Risk and the Conditional Value-at-Risk. In: Probabilistic Constrained Optimization: Methodology and Applications ( S.Uryasev editor) Kluwer Academic Publishers. ISBN 0-7923-6644-1 pp. 272-281 2000.
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  2. G.Ch.Pflug, A.Swietanowski, E.Dockner, H.Moritsch: The AURORA Financial Management System: Model and Parallel implementation design. Annals of OR 00, 2000, pp.1-18., J.C. Baltzer AG, Science Publishers.
  3. H.Moritsch, S. Benkner: High Performance Numerical Pricing Methods. In Proceedings of the 4th Annual HPF User Group meeting. October 2000, Tokyo
  4. T.Fahringer, A.Pozgaj, J.Luitz, H.Moritsch: Evaluation of P3T+ : A Performance Estimator for Distributed and Parallel Applications. In IEEE Proceedings of International Parallel and Distributed Processing Symposium. May 2000, Cancun, Mexico.

1998,1999

  1. E. Dockner and H. Moritsch. Pricing Constant Maturity Floaters with Embedded Options Using Monte Carlo Simulation Technical report AURORA TR1999-04, University of Vienna. 1999.
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  2. G.Ch. Pflug and A. Swietanowski. Dynamic Asset Allocation under Uncertainty for Pension Fund Management Technical report AURORA TR1998-15, University of Vienna. 1998. Revised in Feb. 1999. (To appear in Control & Cybernetics.)
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  3. E. Dockner, H. Moritsch, G.Ch. Pflug and A. Swietanowski. The AURORA financial management system. Technical report AURORA TR1998-08, University of Vienna. 1998.
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  4. G.Ch. Pflug and A. Swietanowski. Parallel decision support for financial management under uncertainty. Technical report AURORA TR1998-07, University of Vienna. 1998.
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© 2002-2005 AURORA Project 6 (High Performance Computing in Finance)