high performance computing on graphics processing units: hgpu.org

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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

Pricing of cross-currency interest rate derivatives on Graphics Processing Units

Duy Minh Dang

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Tags: CUDA, Finance, nVidia, Presentation, Tesla C870

July 7, 2011 by hgpu

Option pricing with COS method on graphics processing units

Bowen Zhang, Cornelis W. Oosterlee

Tags: Computational finance, Finance

July 6, 2011 by hgpu

Parallel computing in a quantitative trading firm

Tuan Nguyen

Tags: Finance

July 3, 2011 by hgpu

Reconfigurable Control Variate Monte-Carlo Designs for Pricing Exotic Options

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

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Tags: CUDA, Finance, FPGA, Monte Carlo simulation, nVidia, Tesla C1060

June 20, 2011 by hgpu

Parallelization and characterization of GARCH option pricing on GPUs

Ren-Shuo Liu, Yun-Cheng Tsai, Chia-Lin Yang

Tags: Computational finance, CUDA, Finance, nVidia

June 17, 2011 by hgpu

Design Exploration of Quadrature Methods in Option Pricing

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

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

June 14, 2011 by hgpu

Using a GPU-CPU architecture to speed up a GA-based real-time system for trading the stock market

Ivan Contreras, Yiyi Jiang, J. Hidalgo, Laura Nunez-Letamendia

Tags: Finance, Genetic programming

May 24, 2011 by hgpu

High dimensional pricing of exotic European contracts on a GPU Cluster, and comparison to a CPU cluster

Lokman A. Abbas-Turki, Stephane Vialle, Bernard Lapeyre, Patrick Mercier

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Tags: CUDA, Finance, GPU cluster, nVidia, nVidia GeForce 8800 GT, OpenMP

May 15, 2011 by hgpu

American Options Based on Malliavin Calculus and Nonparametric Variance Reduction Methods

Lokman Abbas-Turki, Bernard Lapeyre

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Tags: CUDA, Finance, Monte Carlo simulation, nVidia, nVidia GeForce GTX 480, Pricing of Securities, Probability

April 29, 2011 by hgpu

Parallelized Local Volatility Estimation Using GP-GPU Hardware Acceleration

C.C. Douglas, Hyoseop Lee, Dongwoo Sheen

Tags: Algorithms, Computational finance, Finance

April 26, 2011 by hgpu

Financial Derivatives Modeling Using GPU’s

Myungho Lee, Chin Hong Chun, Sugwon Hong

Tags: Computational finance, Finance, Optimization

April 25, 2011 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

Option pricing with multi-dimensional quadrature architectures

Pricing of cross-currency interest rate derivatives on Graphics Processing Units

Option pricing with COS method on graphics processing units

Parallel computing in a quantitative trading firm

Reconfigurable Control Variate Monte-Carlo Designs for Pricing Exotic Options

Parallelization and characterization of GARCH option pricing on GPUs

Design Exploration of Quadrature Methods in Option Pricing

Using a GPU-CPU architecture to speed up a GA-based real-time system for trading the stock market

High dimensional pricing of exotic European contracts on a GPU Cluster, and comparison to a CPU cluster

American Options Based on Malliavin Calculus and Nonparametric Variance Reduction Methods

Parallelized Local Volatility Estimation Using GP-GPU Hardware Acceleration

Financial Derivatives Modeling Using GPU’s

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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