# Heston MC Simulations - Speed up in Matlab

At the moment I am running a Quad Core Xeon PC with 12GB of RAM doing crude MC with 10k scenarios and 1000 time steps. And using fminsearch for calibration, and it takes about half an hour to an hour to do the work.

Now, assuming MC is the only possible way for doing so (I know there are other ways from the post here, thanks to the great people at StackExchange: Other means of calibrating Heston models), is there any way I can speed this up a little? I am already using Matlabpool open for parallel computing and I would like my code to be flexible enough so that I can still run other alternatives of the Heston model (say Chan model) which does not have an easy analytical solution.

Thanks!

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You could use the GPU, but I guess that's overkill in your situation. What to improve depends on where you are. – Bob Jansen Jun 18 '13 at 5:37
GPU is a good deal and even better you can still using matlab do deal with it OpenCL toolbox for Matlab – Clebson Derivan Jun 18 '13 at 13:02
@ClebsonDerivan I'll take a look at it, thanks for your help! – AZhu Jun 19 '13 at 17:46