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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

FPGA Based Acceleration of Decimal Operations

Alberto Nannarelli

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Tags: Computer science, Finance, FPGA, Performance

January 16, 2012 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

See all packages

* * *

high performance computing on graphics processing units: hgpu.org

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

FPGA Based Acceleration of Decimal Operations

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

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