high performance computing on graphics processing units: hgpu.org

Applications

hgpu.org » Applications » Finance

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

Using High Performance Computing for Optimizing Credit Risk Calculation

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

View

Download (PDF)

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

April 26, 2013 by hgpu

KTT - Kernel Tuning Toolkit

Using hardware performance counters to speed up autotuning convergence on GPUs

UPC++: a PGAS library for C++

A Newcomer In The PGAS World – UPC++ vs UPC: A Comparative Study

cuFINUFFT: a load-balanced GPU library for general-purpose nonuniform FFTs

KTT - Kernel Tuning Toolkit

Searching CUDA code autotuning spaces with hardware performance counters: data from benchmarks running on various GPU architectures

HSA-on-FPGA

Transparent FPGA Acceleration with TensorFlow

SYCL for Vitis 2020.1: experimental melting pot with Intel oneAPI DPC++ SYCL and triSYCL for Xilinx FPGA

triSYCL for Xilinx FPGA

AutoFreeze: Automatically Freezing Model Blocks to Accelerate Fine-tuning

C-for-Metal: High Performance SIMD Programming on Intel GPUs

Efficient MPI-based Communication for GPU-Accelerated Dask Applications

Text2Gestures: A Transformer-Based Network for Generating Emotive Body Gestures for Virtual Agents

See all packages

* * *

2021

April

27-29

Munich, Germany

9th International Workshop on OpenCL and SYCL, 2021

2020

December

10-14

Virtually in Barcelona, Spain

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

2020

November

24-27

Naha, Okinawa, Japan

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

2021

January

13-15

Shenzhen, China

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

2020

December

14-16

Bangkok, Thailand

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

Add event

See all events

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

KTT - Kernel Tuning Toolkit

UPC++: a PGAS library for C++

cuFINUFFT: a load-balanced GPU library for general-purpose nonuniform FFTs

KTT - Kernel Tuning Toolkit

HSA-on-FPGA

SYCL for Vitis 2020.1: experimental melting pot with Intel oneAPI DPC++ SYCL and triSYCL for Xilinx FPGA

AutoFreeze: Automatically Freezing Model Blocks to Accelerate Fine-tuning

C-for-Metal: High Performance SIMD Programming on Intel GPUs

Efficient MPI-based Communication for GPU-Accelerated Dask Applications

Text2Gestures: A Transformer-Based Network for Generating Emotive Body Gestures for Virtual Agents

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