Questions tagged [gpgpu]
The gpgpu tag has no usage guidance.
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Speeding up Cutting Edge Quantitative Models on GPUs? [closed]
I have a very strong interest in the use of GPUs in quantitative finance, and am in search of algorithms/simulations/models that can have their runtime heavily reduced by GPU computation.
What models, ...
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How to simulate a CIR process using GPU and Matlab
I am trying to simulate a CIR process using Matlab and my GPU for effeciency. At the moment i run into some implementation problems due to the recursive nature of the discretization.
The sheme I ...
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Reference request: Survey article on GPU in Finance
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 ...
user2688
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Credit Valuation Adjustments -- computation issues
I'm currently working on my Masters project related to accelerating Greeks computations for CVA on mixed interest rate portfolios. I would like to know about the status of technology for CVA and its ...
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What are some computational bottlenecks that quants face? [closed]
What are the current computational (non-network) bottlenecks now in a quant's workflow? What computational tasks would be revolutionary with a 10-100x improvement in performance using general purpose ...
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