high performance computing on graphics processing units: hgpu.org

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GPGPUs in computational finance: Massive parallel computing for American style options

Gilles Pages, Benedikt Wilbertz

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Tags: Computational finance, CUDA, Finance, Monte Carlo simulation, nVidia, nVidia GeForce GTX 295, nVidia GeForce GTX 480, Probability

January 18, 2011 by hgpu

Tapping the supercomputer under your desk: solving dynamic equilibrium models with graphics processors?

Eric M. Aldrich, Jesus Fernandez-Villaverde, A. Ronald Gallant, Juan F. Rubio-Ramirez

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Tags: CUDA, Finance, nVidia, nVidia GeForce GTX 280, Package, Tesla C1060

January 9, 2011 by hgpu

GPU based sparse grid technique for solving multidimensional options pricing PDEs

Abhijeet Gaikwad, Ioane Muni Toke

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Tags: Computational finance, CUDA, Finance, Linear Algebra, nVidia, Sparse matrix, Tesla C870

December 28, 2010 by hgpu

Exploring Reconfigurable Architectures for Tree-Based Option Pricing Models

Qiwei Jin, David B. Thomas, Wayne Luk, Benjamin Cope

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Tags: CUDA, Finance, FPGA, nVidia, nVidia GeForce 7900 GTX

November 28, 2010 by hgpu

Graphical Asian Options

Mark Joshi

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Tags: Asia options, CUDA, Finance, Monte Carlo simulation, nVidia, nVidia Quadro FX 4600

November 23, 2010 by hgpu

Parallel option pricing with Fourier space time-stepping method on graphics processing units

Vladimir Surkov

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Tags: Algorithms, FFT, Finance

November 19, 2010 by hgpu

Parallel Implementation on GPUs of ADI Finite Difference Methods for Parabolic PDEs with Applications in Finance

Duy M. Dang, Christina Christara, Kenneth R. Jackson

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Tags: CUDA, Finance, Finite difference, nVidia, Partial differential equations, PDEs, Tesla T10

November 19, 2010 by hgpu

Massively parallel differential evolution-pattern search optimization with graphics hardware acceleration: an investigation on bound constrained optimization problems

Weihang Zhu

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Tags: Computer science, CUDA, Differential evolution, Finance, nVidia, nVidia GeForce GTX 280, Pattern Search

November 9, 2010 by hgpu

Quantile Mechanics II: Changes of Variables in Monte Carlo methods and a GPU-Optimized Normal Quantile

William T. Shaw, Nick Brickman

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Tags: Computational finance, CUDA, Finance, Monte Carlo simulation, nVidia, nVidia GeForce GTX 285, nVidia GeForce GTX 480, nVidia Quadro FX 4800, Risk Management, Statistical Finance

November 8, 2010 by hgpu

Parallel Iterative Linear Solvers on GPU: A Financial Engineering Case

Abhijeet Gaikwad, Ioane M. Toke

Tags: Computational finance, CUDA, Finance, nVidia, Sparse linear iterative solvers

November 8, 2010 by hgpu

gpu_tracker: Context manager and CLI that tracks the computational-resource-usage of a code block or shell command, particularly the GPU usage

gpu_tracker: Python package for tracking and profiling GPU utilization in both desktop and high-performance computing environments

LOOPer: a polyhedral compiler for expressing fast and portable data parallel algorithms

LOOPer: A Learned Automatic Code Optimizer For Polyhedral Compilers

OpenMC Monte Carlo Code

Performance Portable Monte Carlo Particle Transport on Intel, NVIDIA, and AMD GPUs

Polygeist: C/C++ frontend for MLIR

Retargeting and Respecializing GPU Workloads for Performance Portability

Parallel Gaussian process with kernel approximation in CUDA

Optical flow algorithms for SYCL

SYCL in the edge: performance and energy evaluation for heterogeneous acceleration

OpenMP5-Offload-OpenMC-Intel-PVC

Distributed OpenMP Offloading of OpenMC on Intel GPU MAX Accelerators

See all packages

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high performance computing on graphics processing units: hgpu.org

GPGPUs in computational finance: Massive parallel computing for American style options

Tapping the supercomputer under your desk: solving dynamic equilibrium models with graphics processors?

GPU based sparse grid technique for solving multidimensional options pricing PDEs

Exploring Reconfigurable Architectures for Tree-Based Option Pricing Models

Graphical Asian Options

Parallel option pricing with Fourier space time-stepping method on graphics processing units

Parallel Implementation on GPUs of ADI Finite Difference Methods for Parabolic PDEs with Applications in Finance

Massively parallel differential evolution-pattern search optimization with graphics hardware acceleration: an investigation on bound constrained optimization problems

Quantile Mechanics II: Changes of Variables in Monte Carlo methods and a GPU-Optimized Normal Quantile

Parallel Iterative Linear Solvers on GPU: A Financial Engineering Case

Recent source codes

QArray

Celerity: High-level C++ for Accelerator Clusters

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gpu_tracker: Context manager and CLI that tracks the computational-resource-usage of a code block or shell command, particularly the GPU usage

LOOPer: a polyhedral compiler for expressing fast and portable data parallel algorithms

OpenMC Monte Carlo Code

Polygeist: C/C++ frontend for MLIR

Parallel Gaussian process with kernel approximation in CUDA

Optical flow algorithms for SYCL

OpenMP5-Offload-OpenMC-Intel-PVC

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