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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

GPU Computing in Economics

Eric M. Aldrich

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Source codes

Tags: CUDA, Finance, nVidia, Package, Review, Tesla C2075

July 20, 2013 by hgpu

Local Volatility FX Basket Option on CPU and GPU

Jacques du Toit, Isabel Ehrlich

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Tags: CUDA, Finance, Mixed precision, nVidia, Tesla K20

May 19, 2013 by hgpu

Code generated HPC Kernels Using Llama-2-70b

Comparing Llama-2 and GPT-3 LLMs for HPC kernels generation

Scope is all you need: Transforming LLMs for HPC Code

pocl - Portable Computing Language

PoCL-R: An Open Standard Based Offloading Layer for Heterogeneous Multi-Access Edge Computing with Server Side Scalability

HPAC-Offload: Accelerating HPC Applications with Portable Approximate Computing on the GPU

openCLDispatcher

Novel insights on atomic synchronization for sort-based group-by on GPUs

CEED Benchmarks

Performant low-order matrix-free finite element kernels on GPU architectures

Sieve: Stratified GPU-Compute Workload Sampling

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high performance computing on graphics processing units: hgpu.org

Applications

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

GPU Computing in Economics

Local Volatility FX Basket Option on CPU and GPU

Recent source codes

Code generated HPC Kernels Using Llama-2-70b

Scope is all you need: Transforming LLMs for HPC Code

pocl - Portable Computing Language

HPAC-Offload: Accelerating HPC Applications with Portable Approximate Computing on the GPU

openCLDispatcher

CEED Benchmarks

Sieve: Stratified GPU-Compute Workload Sampling

EngineCL: Usability and Performance in Heterogeneous Computing

Ginkgo: high-performance linear algebra library for manycore systems

AlphaFold2

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