Questions tagged [gpgpu]

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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, ...
GPUMan's user avatar
  • 11
3 votes
2 answers

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 ...
Phun's user avatar
  • 624
13 votes
4 answers

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 ...
user avatar
7 votes
2 answers

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 ...
Vytautas's user avatar
  • 479
14 votes
2 answers

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 ...
Chad Brewbaker's user avatar