Stochastic simulation techniques employed for portfolio risk analysis, often referred to as Aggregate Risk Analysis, can benefit from exploiting state-of-the-art highperformance computing platforms. In this paper, we propose parallel methods to speedup aggregate risk analysis for supporting real-time pricing. To achieve this an algorithm for analysing aggregate risk is proposed and implemented in C and OpenMP for multi-core CPUs and in C and CUDA for many-core GPUs. An evaluation of the performance of the algorithm indicates that GPUs offer a feasible alternative solution over traditional high-performance computing systems. An aggregate simulation on a multi-GPU of 1 million trials with 1000 catastrophic events per trial on a typical exposure set and contract structure is performed in less than 5 seconds. The key result is that the multi-GPU implementation of the algorithm presented in this paper is approximately 77x times faster than the traditional counterpart and can be used in real-time pricing scenarios.<\/p>\n","protected":false},"excerpt":{"rendered":"
Stochastic simulation techniques employed for portfolio risk analysis, often referred to as Aggregate Risk Analysis, can benefit from exploiting state-of-the-art highperformance computing platforms. In this paper, we propose parallel methods to speedup aggregate risk analysis for supporting real-time pricing. To achieve this an algorithm for analysing aggregate risk is proposed and implemented in C and […]<\/p>\n","protected":false},"author":351,"featured_media":0,"comment_status":"open","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"_jetpack_memberships_contains_paid_content":false,"footnotes":"","jetpack_publicize_message":"","jetpack_publicize_feature_enabled":true,"jetpack_social_post_already_shared":false,"jetpack_social_options":{"image_generator_settings":{"template":"highway","default_image_id":0,"font":"","enabled":false},"version":2}},"categories":[36,89,576,3],"tags":[1787,14,1804,20,861,1226,1241],"class_list":["post-8970","post","type-post","status-publish","format-standard","hentry","category-algorithms","category-nvidia-cuda","category-finance","category-paper","tag-algorithms","tag-cuda","tag-finance","tag-nvidia","tag-stochastic-simulation","tag-tesla-c2075","tag-tesla-m2090"],"views":2549,"jetpack_publicize_connections":[],"jetpack_featured_media_url":"","jetpack_sharing_enabled":true,"_links":{"self":[{"href":"https:\/\/hgpu.org\/index.php?rest_route=\/wp\/v2\/posts\/8970","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/hgpu.org\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/hgpu.org\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/hgpu.org\/index.php?rest_route=\/wp\/v2\/users\/351"}],"replies":[{"embeddable":true,"href":"https:\/\/hgpu.org\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=8970"}],"version-history":[{"count":0,"href":"https:\/\/hgpu.org\/index.php?rest_route=\/wp\/v2\/posts\/8970\/revisions"}],"wp:attachment":[{"href":"https:\/\/hgpu.org\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=8970"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/hgpu.org\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=8970"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/hgpu.org\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=8970"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}