Computational Finance

There is ongoing work in options pricing, risk analysis, and algorithmic trading using CUDA. This work along with some representative charts on random number generators and Monte-Carlo simulations are presented below.

GPU acceleration in Murex analytics	Monte Carlo pricing models using SciFinance

Key Computational Finance Applications Using CUDA

* * Expected Speed Up vs a quad-core x64 CPU based system. Speed-ups as per NVIDIA in house testing or application provider documentation.

• JP Morgan Chase "GPU Deployment for Risk Computation" project recognized for Innovation in Banking Technology
• Aon Benfield's PathWise Leverages GPUs for Risk Management at Standard Life
• Bloomberg using GPUs to Speed Up Bond Pricing
• BNP Paribas using Tesla GPUs to Price Derivatives

• CUDA SDK contains code samples for random number generators and Monte Carlo, Black-Scholes, and Binomial option pricing
• CUDA Programming with Mathematica
• Mersenne Twister RNG Code from the Original Authors of the MT
• Derivatives pricing using SciFinance from SciComp
• Voleara real-time option valuation engine from Hanweck
• 3D Visualization of Market Data from Aqumin
• Risk Analysis using CUDA from Exegy Ticker Plant
• LIBOR market model Monte Carlo application
• Level 3 Finance
• PricingCatalyst pricing and hedging library from QuantCatalyst
• Accelerated Trading Solutions from OnEye (Australia)
• Arbitragis Trading
• Enabling GPU Computing in the R Statistical Environment
• MATLAB Acceleration

• Tipping Point: The Performance Benefits of Graphics Processing Units, Risk Magazine, September 2010
• Graphics Processing Units in Computational Finance: Approaching the Mainstream (Strategic Focus), Ovum, August 2010
• Toward a Global Valuation Model, Risk Magazine, 2010
• Trading Firms Turn to Videogame Chips to Get Even Faster, Wall Street Journal, April 2010
• How Three Global Organizations Are Harnessing the Power of GPU Computing, HPCWire, November 2009
• Bloomberg Uses GPUs to Speed Up Bond Pricing, Wall Street & Technology, September 2009
• Quantum Leap: BNP Paribas Accelerates Calculation Times While Slashing Energy Costs with a new GPU-based Architecture, Waters Power, June 2009
• BNP Speeds Risk Calculations with Hardware Acceleration, Securities Technology Monitor, April 2009
• Wall Street Accelerates Options Analysis with GPU Technology, Wall Street & Technology, March 2009
• Hardware Acceleration: Traders and Teraflops, Tabb Group, June 2009
• Mike Giles at Oxford
• Reports from Claudio Albanese: Callable Swaps, Continuous Time Finance
• Financial Monte Carlo Simulation on Architecturally Diverse Systems
• Wilmott Magazine: Derivatives pricing from QuantCatalyst
• Option Pricing from OnEye (Australia)
• Asian Option Pricing on a Cluster of GPUs

• MATLAB acceleration
• Other Tesla Vertical Solutions

• Other Tesla Vertical Solutions
• CUDA Software Development