Joakim Ahnfelt-Ronne, Michael Flaeno Werk
We present a language for specifying stochastic processes, called SPL. We show that SPL can express the price of a range of financial contracts, including so called exotic options with path dependence and with multiple sources of uncertainty. Jones, Eber and Seward previously presented a language for writing down financial contracts in a compositional manner […]
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Mark Joshi
We discuss the problem of pricing Asian options in Black-Scholes model using CUDA on a graphics processing unit. We survey some of the issues with GPU programming and discuss code design and memory usage. We show that by using a Quasi Monte Carlo simulation with a geometric Asian option as a control variate, it is […]
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Free GPU computing nodes at

Registered users can now run their OpenCL application at We provide 1 minute of computer time per each run on two nodes with two AMD and one nVidia graphics processing units, correspondingly. There are no restrictions on the number of starts.

The platforms are

Node 1
  • GPU device 0: AMD/ATI Radeon HD 5870 2GB, 850MHz
  • GPU device 1: AMD/ATI Radeon HD 6970 2GB, 880MHz
  • CPU: AMD Phenom II X6 @ 2.8GHz 1055T
  • RAM: 12GB
  • OS: OpenSUSE 11.4
  • SDK: AMD APP SDK 2.8
Node 2
  • GPU device 0: AMD/ATI Radeon HD 7970 3GB, 1000MHz
  • GPU device 1: nVidia GeForce GTX 560 Ti 2GB, 822MHz
  • CPU: Intel Core i7-2600 @ 3.4GHz
  • RAM: 16GB
  • OS: OpenSUSE 12.2
  • SDK: nVidia CUDA Toolkit 5.0.35, AMD APP SDK 2.8

Completed OpenCL project should be uploaded via User dashboard (see instructions and example there), compilation and execution terminal output logs will be provided to the user.

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