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hgpu.org » Computational finance

Option Pricing on the GPU

Steven Solomon, Ruppa K Thulasiram, Parimala Thulasiraman

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March 14, 2011 by hgpu

Accelerated Root Finding for Computational Finance

Mark J. Bennett
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February 21, 2011 by hgpu

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

Gilles Pages, Benedikt Wilbertz
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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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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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November 8, 2010 by hgpu

Parallel Iterative Linear Solvers on GPU: A Financial Engineering Case

Abhijeet Gaikwad, Ioane M. Toke

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November 8, 2010 by hgpu

Recent source codes

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GSParLib: A multi-level programming interface unifying OpenCL and CUDA for expressing stream and data parallelism
Keras Sig: Efficient Path Signature Computation on GPU in Keras 3

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A User’s Guide to KSig: GPU-Accelerated Computation of the Signature Kernel
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Boosting Performance of Iterative Applications on GPUs: Kernel Batching with CUDA Graphs
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LeetDecoding: A PyTorch Library for Exponentially Decaying Causal Linear Attention with CUDA Implementations

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Enhancing Deployment-Time Predictive Model Robustness for Code Analysis and Optimization
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Scalable Access-Pattern Aware I/O Acceleration and Multi-Tiered Data Management for HPC and AI Workloads
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