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High performance finite difference PDE solvers on GPUs

Daniel Egloff

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Tags: CUDA, Finance, Finite difference, nVidia, Partial differential equations, PDEs, Risk Management, Tesla C1060

October 16, 2011 by hgpu

Functional High Performance Financial IT

Jost Berthold, Andrzej Filinski, Fritz Henglein, Ken Friis Larsen, Mogens Steffensen, Brian Vinter

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Tags: Finance, OpenCL

October 15, 2011 by hgpu

GPU Computing Gems: Jade Edition

Wen-mei W. Hwu

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Tags: Algorithms, Book, Cellular automata, Computational finance, Computer science, Computer vision, CUDA, Finance, Fluid dynamics, Games, GPU cluster, nVidia

October 14, 2011 by hgpu

Benchmarking Across Platforms: European Option Pricing

Igor N. Kozin

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Tags: AMD FireStream 9270, Benchmarking, Cell processor, Computer science, CUDA, Finance, nVidia, OpenCL, Tesla M2050, Tesla S1070

October 13, 2011 by hgpu

Programming framework for clusters with heterogeneous accelerators

Anson H.T. Tse, David B. Thomas, K.H. Tsoi, Wayne Luk

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Tags: Computer science, Finance, FPGA, Heterogeneous systems, Physics, Programming techniques, Tesla

October 8, 2011 by hgpu

Efficient reconfigurable design for pricing asian options

Anson H.T. Tse, David B. Thomas, K.H. Tsoi, Wayne Luk

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Tags: Computational finance, CUDA, Finance, FPGA, Tesla

October 8, 2011 by hgpu

Improving Scheduling Techniques in Heterogeneous Systems with Dynamic, On-Line Optimisations

Marcin Bogdanski, Peter R. Lewis, Tobias Becker, Xin Yao

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Tags: Algorithms, Computer science, Finance, FPGA, Heterogeneous systems, Machine learning, Task scheduling

September 3, 2011 by hgpu

Pricing the American Option Using Reconfigurable Hardware

Chris Wynnyk, Malik Magdon-Ismail

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Tags: Algorithms, CUDA, Finance, Finite difference, FPGA, nVidia, Tesla S1070

August 10, 2011 by hgpu

Exploring reconfigurable architectures for explicit finite difference option pricing models

Qiwei Jin, David B. Thomas, Wayne Luk

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Tags: CUDA, Finance, Finite difference, FPGA, nVidia, nVidia GeForce 8600 GT, Tesla C1060

August 3, 2011 by hgpu

American Options Pricing on Multi-core Graphic Cards

L.A. Abbas-Turki, B. Lapeyre

Tags: Algorithms, Cg, Finance, nVidia

July 27, 2011 by hgpu

High-performance bankruptcy prediction model using Graphics Processing Units

Bernardete Ribeiro, Noel Lopes, Catarina Silva

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Source codes

Tags: Finance, Neural networks, nVidia GeForce 8600 GT, nVidia GeForce GTX 280, Package

July 16, 2011 by hgpu

Option pricing with multi-dimensional quadrature architectures

Anson H.T. Tse, David B. Thomas, Wayne Luk

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Tags: Finance, FPGA, nVidia, nVidia GeForce 8600 GT, Performance, Tesla C1060

July 14, 2011 by hgpu

SimSYCL: Synchronous, single-threaded, library-only SYCL implementation for debugging and verification

SimSYCL: A SYCL Implementation Targeting Development, Debugging, Simulation and Conformance

gpu_tracker: Context manager and CLI that tracks the computational-resource-usage of a code block or shell command, particularly the GPU usage

gpu_tracker: Python package for tracking and profiling GPU utilization in both desktop and high-performance computing environments

CIFAR-10 Airbench: 94% on CIFAR-10 in 3.29 second

94% on CIFAR-10 in 3.29 Seconds on a Single GPU

LOOPer: a polyhedral compiler for expressing fast and portable data parallel algorithms

LOOPer: A Learned Automatic Code Optimizer For Polyhedral Compilers

OpenMC Monte Carlo Code

Performance Portable Monte Carlo Particle Transport on Intel, NVIDIA, and AMD GPUs

Polygeist: C/C++ frontend for MLIR

Retargeting and Respecializing GPU Workloads for Performance Portability

Parallel Gaussian process with kernel approximation in CUDA

See all packages

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high performance computing on graphics processing units: hgpu.org

Applications

High performance finite difference PDE solvers on GPUs

Functional High Performance Financial IT

GPU Computing Gems: Jade Edition

Benchmarking Across Platforms: European Option Pricing

Programming framework for clusters with heterogeneous accelerators

Efficient reconfigurable design for pricing asian options

Improving Scheduling Techniques in Heterogeneous Systems with Dynamic, On-Line Optimisations

Pricing the American Option Using Reconfigurable Hardware

Exploring reconfigurable architectures for explicit finite difference option pricing models

American Options Pricing on Multi-core Graphic Cards

High-performance bankruptcy prediction model using Graphics Processing Units

Option pricing with multi-dimensional quadrature architectures

Recent source codes

SimSYCL: Synchronous, single-threaded, library-only SYCL implementation for debugging and verification

GPU plugin for PySCF

QArray

Celerity: High-level C++ for Accelerator Clusters

gpu_tracker: Context manager and CLI that tracks the computational-resource-usage of a code block or shell command, particularly the GPU usage

CIFAR-10 Airbench: 94% on CIFAR-10 in 3.29 second

LOOPer: a polyhedral compiler for expressing fast and portable data parallel algorithms

OpenMC Monte Carlo Code

Polygeist: C/C++ frontend for MLIR

Parallel Gaussian process with kernel approximation in CUDA

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