GPU Computing for Derivatives Pricing Models
SciFinance “Automatic GPU Computing for Derivatives Pricing Models” slides from the London seminar are available here.
SciFinance has been developed over 17 years with the input and guidance of practitioners at top tier institutions worldwide. SciFinance provides you the ability to efficiently, economically and quickly develop your own pricing models at a fraction of the cost (in both time and money) of trying to develop them internally or via open source systems. For state-of-the art model development we are not aware of any open source system that can credibly claim to provide comparable capabilities, particularly in the critical area of calibration. SciFinance provides an exponential increase in your team’s model development capabilities at a fraction of the cost of a single financial engineer.
SciFinance automatically generates CUDA-enabled or OpenMP pricing model source code:
- CUDA-enabled pricing models
- Monte Carlo pricing models: 30X-60X or more faster than serial code (single GPU, double precision)
- PDE pricing models: 10X-35X or more faster than serial code (single GPU, double precision)
- OpenMP-compliant code executes in the multi-processor environment with nearly linear speed-up 3.9X faster than serial code on a quad-core PC, 22X on a 24 CPU workstation
SciFinance can be used for modeling a broad range of financial instruments including:
- Equity/FX derivatives
- Convertible bonds
- Interest rate/cross currency structures
- Energy/commodity derivatives
- Credit products
- Hybrid instruments
[...] GPU Computing for Derivatives Pricing Models [...]
SciFinance® speeds up derivatives pricing with CUDA Otc Convertible Debt | OTC Financial Group said this on December 18, 2011 at 5:18 am |
[...] Trading in over-the-counter financial derivatives is a high-risk, high-pressure venture. SciComp, an Austin, Texas-based company, has a high-tech derivatives software solution to shorten the development time and accelerate the performance of Monte Carlo pricing models. The company has enhanced SciFinance®, its flagship product, to deliver accurate NVIDIA® CUDA™-enabled derivatives pricing models that run up to 200 times faster than serial code. More significantly, this speed up can be achieved without any additional work or hand programming which, in a market where a slight delay or inaccuracy can end up costing millions, is a critical advance. Mouse here for Related LinksGPU Computing for Derivatives Pricing Models [...]
SciFinance® speeds up derivatives pricing with CUDA Otc Equity Financing | OTC Capital Group said this on December 18, 2011 at 10:34 am |