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Parallel Algorithm for BSDEs Based High Dimensional American Option Pricing on the GPU

Ying Peng, Hui Liu, Shuzhen Yang, Bin Gong

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Tags: Algorithms, CUDA, Differential equations, Finance, nVidia, Tesla C2050

January 10, 2014 by hgpu

Pseudo Random Number Generators on Graphics Processing Units, with Applications in Finance

Matthew Anker

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Tags: Algorithms, Computer science, CUDA, Finance, nVidia, Pseudo-random number generators, Tesla C2050, Thesis

November 25, 2013 by hgpu

Optimising Monte Carlo option pricing using GPUs

Ryan Saunders

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Tags: CUDA, Finance, Monte Carlo simulation, nVidia, nVidia GeForce GTX 780

November 24, 2013 by hgpu

Accounting for Secondary Uncertainty: Efficient Computation of Portfolio Risk Measures on Multi and Many Core Architectures

Blesson Varghese, Andrew Rau-Chaplin

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Tags: Computational Engineering, Computer science, CUDA, Finance, nVidia, Risk Management, Tesla C2075

October 10, 2013 by hgpu

Approximate dynamic programming with post-decision states as a solution method for dynamic economic models

Isaiah Hull

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Tags: Algorithms, CUDA, Finance, nVidia, nVidia GeForce GTX 560 Ti, Stochastic simulation

September 30, 2013 by hgpu

Multi-GPU Acceleration of Black-Scholes Equation based Option Pricing

Di Zhao, Jinhang Yu

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Tags: Algorithms, CUDA, Differential equations, Finance, nVidia, nVidia GeForce GTX 660, Partial differential equations, PDEs

September 23, 2013 by hgpu

A GPU Accelerated BiConjugate Gradient Stabilized Solver for Speeding-up Large Scale Model Evaluation

Alexandru Voicu

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Tags: ATI, ATI Radeon HD 7970, Finance, OpenCL

September 14, 2013 by hgpu

Bitcoin and The Age of Bespoke Silicon

Michael Bedford Taylor

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Tags: ASIC, ATI, Finance, FPGA, nVidia, OpenCL, Performance, Review

August 31, 2013 by hgpu

Solutions for Optimizing the Monte Carlo Option Pricing Method’s Implementation Using the Compute Unified Device Architecture

Ion Lungu, Dana-Mihaela Petrosanu, Alexandru Pirjan

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Tags: CUDA, Finance, nVidia, nVidia GeForce GTX 680, Optimization

August 27, 2013 by hgpu

GPU Acceleration of a Basket Option Pricing Engine

Sean Trainor, Danny Crookes

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Tags: Algorithms, CUDA, Finance, Monte Carlo simulation, nVidia, nVidia GeForce GTX 670, OpenCL

August 14, 2013 by hgpu

Achieving Speedup in Aggregate Risk Analysis using Multiple GPUs

A. K. Bahl, O. Baltzer, A. Rau-Chaplin, B. Varghese, A. Whiteway

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Tags: Algorithms, Computer science, CUDA, Finance, nVidia, Risk Management, Stochastic simulation, Tesla C2075, Tesla M2090

August 13, 2013 by hgpu

Parallel Simulations for Analysing Portfolios of Catastrophic Event Risk

Aman Bahl, Oliver Baltzer, Andrew Rau-Chaplin, Blesson Varghese

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Tags: Algorithms, Computational Engineering, Computer science, CUDA, Finance, Monte Carlo simulation, nVidia, Stochastic simulation, Tesla C2075

August 12, 2013 by hgpu

CFAL-bench

Comparing Parallel Functional Array Languages: Programming and Performance

Efficient Graph Embedding at Scale: Optimizing CPU-GPU-SSD Integration

Can Large Language Models Predict Parallel Code Performance?

Data-efficient LLM Fine-tuning for Code Generation

DeepSpeed is a deep learning optimization library that makes distributed training and inference easy, efficient, and effective.

DeepCompile: A Compiler-Driven Approach to Optimizing Distributed Deep Learning Training

Large Language Model Powered C-to-CUDA Code Translation: A Novel Auto-Parallelization Framework

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high performance computing on graphics processing units: hgpu.org

Applications

Parallel Algorithm for BSDEs Based High Dimensional American Option Pricing on the GPU

Pseudo Random Number Generators on Graphics Processing Units, with Applications in Finance

Optimising Monte Carlo option pricing using GPUs

Accounting for Secondary Uncertainty: Efficient Computation of Portfolio Risk Measures on Multi and Many Core Architectures

Approximate dynamic programming with post-decision states as a solution method for dynamic economic models

Multi-GPU Acceleration of Black-Scholes Equation based Option Pricing

A GPU Accelerated BiConjugate Gradient Stabilized Solver for Speeding-up Large Scale Model Evaluation

Bitcoin and The Age of Bespoke Silicon

Solutions for Optimizing the Monte Carlo Option Pricing Method’s Implementation Using the Compute Unified Device Architecture

GPU Acceleration of a Basket Option Pricing Engine

Achieving Speedup in Aggregate Risk Analysis using Multiple GPUs

Parallel Simulations for Analysing Portfolios of Catastrophic Event Risk

Recent source codes

CFAL-bench

Efficient Graph Embedding at Scale: Optimizing CPU-GPU-SSD Integration

Can Large Language Models Predict Parallel Code Performance?

PELSI: Power-Efficient Layer-Switched Inference

Ouroboros: Virtualized Queues for dynamic memory management

MSCCL++: A GPU-driven communication stack for scalable AI applications

Benchmark compute shader of Unity against InteropUnityCUDA

Data-efficient LLM Fine-tuning for Code Generation

DeepSpeed is a deep learning optimization library that makes distributed training and inference easy, efficient, and effective.

Large Language Model Powered C-to-CUDA Code Translation: A Novel Auto-Parallelization Framework

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