TY - GEN
T1 - Parallel generation of optimal mortgage refinancing threshold rates
AU - Zhang, Nan
AU - Xie, Dejun
AU - Lim, Eng Gee
AU - Wan, Kaiyu
AU - Man, Ka Lok
PY - 2013
Y1 - 2013
N2 - We present our study on the optimal mortgage refinancing problem under a stochastic interest rate environment. Through Monte Carlo simulations we try to identify the optimal time for refinancing such that the overall cost is minimised. Experimental results reveal that such a time is more likely to appear at the early stage of a mortgage contract. Through simulations we also generate time-dependent threshold rates for optimal refinancing. At a particular time, if market interest rate falls below such a threshold refinancing is most likely to be optimal. To accelerate the generation of the threshold rates we developed a multi-threaded program, which demonstrated more than three-time speedups against an efficiently-written sequential program on a quad-core Intel Corei7 2600 in all the test cases.
AB - We present our study on the optimal mortgage refinancing problem under a stochastic interest rate environment. Through Monte Carlo simulations we try to identify the optimal time for refinancing such that the overall cost is minimised. Experimental results reveal that such a time is more likely to appear at the early stage of a mortgage contract. Through simulations we also generate time-dependent threshold rates for optimal refinancing. At a particular time, if market interest rate falls below such a threshold refinancing is most likely to be optimal. To accelerate the generation of the threshold rates we developed a multi-threaded program, which demonstrated more than three-time speedups against an efficiently-written sequential program on a quad-core Intel Corei7 2600 in all the test cases.
KW - Monte Carlo simulation
KW - Mortgage refinancing
KW - Parallel computing
KW - Stochastic interest rate model
UR - http://www.scopus.com/inward/record.url?scp=84883398740&partnerID=8YFLogxK
U2 - 10.1007/978-3-642-38027-3_72
DO - 10.1007/978-3-642-38027-3_72
M3 - Conference Proceeding
AN - SCOPUS:84883398740
SN - 9783642380266
T3 - Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
SP - 665
EP - 675
BT - Grid and Pervasive Computing - 8th International Conference, GPC 2013 and Colocated Workshops, Proceedings
T2 - 8th International Conference on Grid and Pervasive Computing, GPC 2013
Y2 - 9 May 2013 through 11 May 2013
ER -