Finance | Page 11

hgpu.org » Finance

Accelerating Quadrature Methods for Option Valuation

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

View

Download (PDF)

Tags: CUDA, Finance, nVidia, nVidia GeForce 8600 GT, Tesla C1060

January 19, 2011 by hgpu

GPGPUs in computational finance: Massive parallel computing for American style options

Gilles Pages, Benedikt Wilbertz

View

Download (PDF)

Tags: Computational finance, CUDA, Finance, Monte Carlo simulation, nVidia, nVidia GeForce GTX 295, nVidia GeForce GTX 480, Probability

January 18, 2011 by hgpu

Tapping the supercomputer under your desk: solving dynamic equilibrium models with graphics processors?

Eric M. Aldrich, Jesus Fernandez-Villaverde, A. Ronald Gallant, Juan F. Rubio-Ramirez

View

Download (PDF)

Source codes

Tags: CUDA, Finance, nVidia, nVidia GeForce GTX 280, Package, Tesla C1060

January 9, 2011 by hgpu

GPU based sparse grid technique for solving multidimensional options pricing PDEs

Abhijeet Gaikwad, Ioane Muni Toke

View

Download (PDF)

Tags: Computational finance, CUDA, Finance, Linear Algebra, nVidia, Sparse matrix, Tesla C870

December 28, 2010 by hgpu

Exploring Reconfigurable Architectures for Tree-Based Option Pricing Models

Qiwei Jin, David B. Thomas, Wayne Luk, Benjamin Cope

View

Download (PDF)

Tags: CUDA, Finance, FPGA, nVidia, nVidia GeForce 7900 GTX

November 28, 2010 by hgpu

Graphical Asian Options

Mark Joshi

View

Download (PDF)

Tags: Asia options, CUDA, Finance, Monte Carlo simulation, nVidia, nVidia Quadro FX 4600

November 23, 2010 by hgpu

Parallel option pricing with Fourier space time-stepping method on graphics processing units

Vladimir Surkov

View

Download (PDF)

Tags: Algorithms, FFT, Finance

November 19, 2010 by hgpu

Parallel Implementation on GPUs of ADI Finite Difference Methods for Parabolic PDEs with Applications in Finance

Duy M. Dang, Christina Christara, Kenneth R. Jackson

View

Download (PDF)

Tags: CUDA, Finance, Finite difference, nVidia, Partial differential equations, PDEs, Tesla T10

November 19, 2010 by hgpu

Massively parallel differential evolution-pattern search optimization with graphics hardware acceleration: an investigation on bound constrained optimization problems

Weihang Zhu

View

Download (PDF)

Tags: Computer science, CUDA, Differential evolution, Finance, nVidia, nVidia GeForce GTX 280, Pattern Search

November 9, 2010 by hgpu

Quantile Mechanics II: Changes of Variables in Monte Carlo methods and a GPU-Optimized Normal Quantile

William T. Shaw, Nick Brickman

View

Download (PDF)

Tags: Computational finance, CUDA, Finance, Monte Carlo simulation, nVidia, nVidia GeForce GTX 285, nVidia GeForce GTX 480, nVidia Quadro FX 4800, Risk Management, Statistical Finance

November 8, 2010 by hgpu

Parallel Iterative Linear Solvers on GPU: A Financial Engineering Case

Abhijeet Gaikwad, Ioane M. Toke

Tags: Computational finance, CUDA, Finance, nVidia, Sparse linear iterative solvers

November 8, 2010 by hgpu

Over-synchronization in GPU Programs

profile_util: simple C++ library to report memory, timing, thread affinity

Profile Util library: A quick and easy way to get MPI, OpenMP and GPU runtime information

MaC: Mamba CPU performance predictor

MambaCPU: Enhanced Correlation Mining with State Space Models for CPU Performance Prediction

Mixed-precision finite element kernels

Mixed-precision finite element kernels and assembly: Rounding error analysis and hardware acceleration

SHMT: The Simultaneous and Heterogenous Multithreading project

General-Purpose Computing on Tensor Processors

Superpipeline: A Universal Approach for Reducing GPU Memory Usage in Large Models

EnergyUCB-Bandit

Online Energy Optimization in GPUs: A Multi-Armed Bandit Approach

See all packages

* * *

high performance computing on graphics processing units: hgpu.org

Accelerating Quadrature Methods for Option Valuation

GPGPUs in computational finance: Massive parallel computing for American style options

Tapping the supercomputer under your desk: solving dynamic equilibrium models with graphics processors?

GPU based sparse grid technique for solving multidimensional options pricing PDEs

Exploring Reconfigurable Architectures for Tree-Based Option Pricing Models

Graphical Asian Options

Parallel option pricing with Fourier space time-stepping method on graphics processing units

Parallel Implementation on GPUs of ADI Finite Difference Methods for Parabolic PDEs with Applications in Finance

Massively parallel differential evolution-pattern search optimization with graphics hardware acceleration: an investigation on bound constrained optimization problems

Quantile Mechanics II: Changes of Variables in Monte Carlo methods and a GPU-Optimized Normal Quantile

Parallel Iterative Linear Solvers on GPU: A Financial Engineering Case

Recent source codes

Kokkidio: Kokkos+Eigen - write fast, readable multi-platform code

LLaMA-Inference-Bench

MATAR

Over-synchronization in GPU Programs

profile_util: simple C++ library to report memory, timing, thread affinity

MaC: Mamba CPU performance predictor

Mixed-precision finite element kernels

SHMT: The Simultaneous and Heterogenous Multithreading project

Superpipeline: A Universal Approach for Reducing GPU Memory Usage in Large Models

EnergyUCB-Bandit

Most viewed papers (last 30 days)