high performance computing on graphics processing units: hgpu.org

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hgpu.org » Applications » Finance

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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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

Accelerating Financial Applications on the GPU

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

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

May 6, 2013 by hgpu

Using High Performance Computing for Optimizing Credit Risk Calculation

Mark Joselli, Jose Ricardo Silva Junior, Marcelo Zamith, Esteban Clua, Eduardo Soluri

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Tags: Computational finance, CUDA, Finance, nVidia, nVidia GeForce GTX 580

April 26, 2013 by hgpu

Easy and Efficient Transformer: Scalable Inference Solution For large NLP mode

Ripple: Simplified Large-Scale Computation on Heterogeneous Architectures with Polymorphic Data Layout

Efficient Video Compression via Content-Adaptive Super-Resolution

CUDA Modular Polynomial (CUMODP) Library

Parallel Arbitrary-precision Integer Arithmetic

Energy-aware Task Scheduling with Deadline Constraint in DVFS-enabled Heterogeneous Clusters

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24-27

Naha, Okinawa, Japan

The Fifth International Workshop on GPU Computing and AI (GCA), 2020

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Bangkok, Thailand

International Conference on Cyber Physical Systems and IoT (CPSIOT’20), 2020

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high performance computing on graphics processing units: hgpu.org

Applications

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

Using High Performance Computing for Optimizing Credit Risk Calculation

Recent source codes

Easy and Efficient Transformer: Scalable Inference Solution For large NLP mode

Ripple: Simplified Large-Scale Computation on Heterogeneous Architectures with Polymorphic Data Layout

CrypTen: a framework for Privacy Preserving Machine Learning built on PyTorch

SLATE: Software for Linear Algebra Targeting Exascale project

MG-CFD OP2

Megatron

pharos: performance monitoring instrumentation for multi-FPGA systems

Efficient Video Compression via Content-Adaptive Super-Resolution

CUDA Modular Polynomial (CUMODP) Library

Energy-aware Task Scheduling with Deadline Constraint in DVFS-enabled Heterogeneous Clusters

Most viewed papers (last 30 days)

Featured events

9th International Workshop on OpenCL and SYCL, 2021

The 18th International Conference on High Performance Computing & Simulation (HPCS), 2020

The Fifth International Workshop on GPU Computing and AI (GCA), 2020

2nd International Conference on Frontiers of Intelligent Manufacturing and Automation (CFIMA’21), 2021

International Conference on Cyber Physical Systems and IoT (CPSIOT’20), 2020