high performance computing on graphics processing units: hgpu.org

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Option Pricing on the GPU

Steven Solomon, Ruppa K Thulasiram, Parimala Thulasiraman

Tags: Computational finance, Finance

March 14, 2011 by hgpu

Accelerated Root Finding for Computational Finance

Mark J. Bennett

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Tags: Algorithms, Computational finance, Differential equations, Finance, Stochastic simulation

February 21, 2011 by hgpu

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

Gilles Pages, Benedikt Wilbertz

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

January 18, 2011 by hgpu

GPU based sparse grid technique for solving multidimensional options pricing PDEs

Abhijeet Gaikwad, Ioane Muni Toke

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

December 28, 2010 by hgpu

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

William T. Shaw, Nick Brickman

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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

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

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high performance computing on graphics processing units: hgpu.org

Option Pricing on the GPU

Accelerated Root Finding for Computational Finance

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

GPU based sparse grid technique for solving multidimensional options pricing PDEs

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

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

Most viewed papers (last 30 days)