high performance computing on graphics processing units: hgpu.org

Applications

hgpu.org » Applications » Finance

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

Blesson Varghese, Andrew Rau-Chaplin

View

Download (PDF)

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

View

Download (PDF)

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

View

Download (PDF)

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

View

Download (PDF)

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

September 14, 2013 by hgpu

Bitcoin and The Age of Bespoke Silicon

Michael Bedford Taylor

View

Download (PDF)

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

View

Download (PDF)

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

View

Download (PDF)

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

View

Download (PDF)

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

View

Download (PDF)

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

View

Download (PDF)

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

View

Download (PDF)

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

May 19, 2013 by hgpu

Accelerating Financial Applications on the GPU

Scott Grauer-Gray, William Killian, Robert Searles, John Cavazos

View

Download (PDF)

Source codes

Tags: Computational finance, CUDA, Finance, nVidia, OpenACC, OpenCL, Package, Review, Tesla C2050, Tesla K20

May 6, 2013 by hgpu

* * *

Open-source FPGA-ML codesign for the MLPerf Tiny Benchmark

MapReduce for Counting Word Frequencies with MPI and GPUs

CoDL: Efficient CPU-GPU Co-execution for Deep Learning Inference on Mobile Devices

SYCLCOMP Utilities

On the Compilation Performance of Current SYCL Implementations

M1 GPUs for (scientific) computations in C++

Seamless GPU acceleration for C++ based physics with the Metal Shading Language on Apple’s M series unified chips

CUB: Cooperative primitives for CUDA C++

Onesweep: A Faster Least Significant Digit Radix Sort for GPUs

Simulator and workload generator for Edge-to-Cloud environments

FELARE: Fair Scheduling of Machine Learning Applications on Heterogeneous Edge Systems

See all packages

* * *

high performance computing on graphics processing units: hgpu.org

Applications

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

Accelerating Financial Applications on the GPU

Recent source codes

Rodinia Benchmarks for DPC++

DCA++: a state of the art implementation of the dynamical cluster approximation

tntorch - Tensor Network Learning with PyTorch

Open-source FPGA-ML codesign for the MLPerf Tiny Benchmark

MapReduce for Counting Word Frequencies with MPI and GPUs

CoDL: Efficient CPU-GPU Co-execution for Deep Learning Inference on Mobile Devices

SYCLCOMP Utilities

M1 GPUs for (scientific) computations in C++

CUB: Cooperative primitives for CUDA C++

Simulator and workload generator for Edge-to-Cloud environments

Most viewed papers (last 30 days)