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Binomial American Option Pricing on CPU-GPU Hetergenous System

Nan Zhang, Chi-Un Lei, Ka Lok Man

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Tags: Algorithms, CUDA, Finance, Heterogeneous systems, nVidia, nVidia Quadro NVS 160 M

September 1, 2012 by hgpu

Case Studies in Acceleration of Heston’s Stochastic Volatility Financial Engineering Model: GPU, Cloud and FPGA Implementations

Christos Delivorias

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Tags: Cloud, CUDA, Finance, FPGA, nVidia, Tesla K10, Thesis

August 30, 2012 by hgpu

Efficient GPU implementation of parameter estimation of a statistical model for online advertisement optimization

Albin Lindback

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Tags: Computer science, CUDA, Finance, nVidia, nVidia GeForce GTX 570, Optimization, Thesis

August 16, 2012 by hgpu

A Novel GPU Implementation of Eigen Analysis for Risk Management

Mustafa U. Torun, Ali N. Akansu

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Tags: CUDA, Filtering, Finance, nVidia, Risk Management, Tesla C2070

July 29, 2012 by hgpu

Performance of GPU for Pricing Financial Derivatives: Convertible Bonds

Yuh-Dauh Lyuu, Kuo-Wei Wen, Yi-Chun Wu

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Tags: CUDA, Finance, nVidia, nVidia GeForce 8800 GTS

June 30, 2012 by hgpu

Adaptive Sequential Posterior Simulators for Massively Parallel Computing Environments

Garland Durham, John Gewekey

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Tags: Algorithms, Bayesian, CUDA, Finance, nVidia, nVidia GeForce GTX 570

June 29, 2012 by hgpu

Heterogeneous Computing in Economics: a Simplified Approach

Matt P. Dziubinski, Stefano Grassi

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Tags: CUDA, Data parallelism, Finance, Heterogeneous systems, nVidia, nVidia GeForce GT 520 M, nVidia GeForce GTS 450, Optimization

May 14, 2012 by hgpu

Using high performance computing and Monte Carlo simulation for pricing american options

Verche Cvetanoska, Toni Stojanovski

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Tags: Computational finance, Computer science, CUDA, Finance, Monte Carlo simulation, nVidia, nVidia GeForce GT 540 M

May 3, 2012 by hgpu

CPU-GPU Hybrid Parallel Binomial American Option Pricing

Nan Zhang, Eng Gee Lim, Ka Lok Man, Chi-Un Lei

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Tags: Algorithms, CUDA, Finance, Heterogeneous systems, Hybrid computing, nVidia, nVidia Quadro NVS 160 M

March 21, 2012 by hgpu

Benchmarking Next Generation Hardware Platforms: An Experimental Approach

Vishakha Gupta, Adit Ranadive, Ada Gavrilovska, Karsten Schwan

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Tags: Benchmarking, CUDA, Finance, Heterogeneous systems, Image processing, nVidia, nVidia GeForce 8800 GTX

March 1, 2012 by hgpu

Stochastic Differential Equations simulation using GPU

Narayana Darapaneni, Prakalp Somawanshi, Meghana Joshi

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Tags: Algorithms, Computer science, CUDA, Differential equations, Finance, Monte Carlo simulation, nVidia, nVidia GeForce GTX 275, Pseudo-random number generators, Stochastic simulation

February 7, 2012 by hgpu

Simulation Valuation of Multiple Exercise Options

T. James Marshall, R. Mark Reesor, Matthew Cox

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Tags: ATI, ATI FirePro V9800, Finance, OpenCL

January 17, 2012 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

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high performance computing on graphics processing units: hgpu.org

Binomial American Option Pricing on CPU-GPU Hetergenous System

Efficient GPU implementation of parameter estimation of a statistical model for online advertisement optimization

A Novel GPU Implementation of Eigen Analysis for Risk Management

Performance of GPU for Pricing Financial Derivatives: Convertible Bonds

Adaptive Sequential Posterior Simulators for Massively Parallel Computing Environments

Heterogeneous Computing in Economics: a Simplified Approach

Using high performance computing and Monte Carlo simulation for pricing american options

CPU-GPU Hybrid Parallel Binomial American Option Pricing

Benchmarking Next Generation Hardware Platforms: An Experimental Approach

Stochastic Differential Equations simulation using GPU

Simulation Valuation of Multiple Exercise Options

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

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