Accelerated Root Finding for Computational Finance
Rho Trading Securities, LLC, Chicago, IL, USA
Symposium on Application Accelerators in High Performance Computing, 2009 (SAAHPC’09)
@article{bennett2009accelerated,
title={Accelerated Root Finding for Computational Finance},
author={Bennett, M.J.},
booktitle={Application Accelerators in High Performance Computing, 2009 Symposium, Papers},
year={2009}
}
A parallel implementation of root finding on an SIMD application accelerator is reported. These are roots of stochastic differential equations in the computational finance domain which require a stochastic simulation to be performed for each evaluation of the pricing function. Experiments show that a speedup of 15X can be achieved over using a stand-alone CPU processor, depending on the required accuracy, and the numerical method employed.
February 21, 2011 by hgpu
