2927

Accelerated Root Finding for Computational Finance

Mark J. Bennett
Rho Trading Securities, LLC, Chicago, IL, USA
Symposium on Application Accelerators in High Performance Computing, 2009 (SAAHPC’09)

@article{bennett2009accelerated,

   title={Accelerated Root Finding for Computational Finance},

   author={Bennett, M.J.},

   booktitle={Application Accelerators in High Performance Computing, 2009 Symposium, Papers},

   year={2009}

}

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A parallel implementation of root finding on an SIMD application accelerator is reported. These are roots of stochastic differential equations in the computational finance domain which require a stochastic simulation to be performed for each evaluation of the pricing function. Experiments show that a speedup of 15X can be achieved over using a stand-alone CPU processor, depending on the required accuracy, and the numerical method employed.
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