Reference request: Survey article on GPU in Finance

Question

I would like to get and idea of how people use GPUs in finance.

I can find some specific papers or books on the subject.
GPUs in binomial model, finite difference, monte carlo,...

But I couldn't find any recent survey papers.

Do you know some recent survey paper?
Or any kind of reference which try to gives a birdview on GPUs in finance?

Added
Reference I found:
Pagès, Wilbertz, 2011, GPGPUs in computational finance: Massive parallel computing for American style options

Labart, Lelong,2011,A Parallel Algorithm for solving BSDEs - Application to the pricing and hedging of American options

Bradley, 2012, State of GPU computing in computational finance
The paper digs deep in current GPU method in QF, but the general survey is very short.

Answer 1

The Pagès-Wilbertz paper is a very good one. To answer more directly to you underlying question that is: "in which quant finance area to use hardware acceleration?"; the points to take into account are:

• GPU is very good for parallel computations (already underlined in remarks)
• but bad for memory sharing between the master software and the GPU-hosted library
• FPGA is good for parallel computations too (but harder to use compared to GPU)
• FPGA works well for working on data flows

Consequently:

• if you need to solve numerically a PDE with few parameters (coefficients of the derivative terms): GPU is nice;
• if you need to compute on the flight analytics for high frequency trading: FPGA is nice.

Answer 2

There are few surveys atm as people are still relatively secretive about it because of the various challenges a production system poses. Actually a major bank even backstepped after some initial efforts. So there is now quite some activity in the field but not so much as the initial hype suggested. You can also try asking in the dedicated Linkedin group.

Edit: I could give you various additional references on specific applications if you want to get an idea of the field anyway.