GPU Capital Markets Reading

Here’s a list of articles/postings that are possible interesting to anyone in the GPU space.

  • BNP Speeds Risk Calculations With Hardware Acceleration
  • Accelerating Market Value­ at­Risk Estimation on GPUs
  • Balancing the benefits and costs of GPUs
  • Applications of GPU for Finance
  • Speedup for Option Pricing
  • NAG Numerical Routines for GPUs
  • Numerical Excellence in Finance
  • A Note on Implementing LIBOR Market Model
  • Parallelisation Techniques for Random Number Generators – of interest is this statement in the benchmark performance “Ideally
    an application would consume the random numbers on the GPU, however if the random numbers were required by CPU code then there may be an additional cost to copy the data back from the GPU to the host”
  • Mike Giles – LIBOR Monte Carlo application
  • NVIDIA CUDA C/C++ SDK CODE Samples – Single Asian Option

~ by mdavey on October 6, 2011.

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