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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.
| Murex GPU Acceleration for a CMS Spread | |
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| GPU acceleration in Murex analytics | Monte Carlo pricing models using SciFinance |
Key Computational Finance Applications Using CUDA
| ISV | DESCRIPTION |
| Murex | Risk analytics (MACS) |
| MATLAB® | Data parallel mathematics (MATLAB PCT, MDCS) |
| Jacket for MATLAB | GPU accelerated MATLAB by AccelerEyes. |
| Quantifi Solutions | Portfolio risk (Quantifi Risk), Credit Risk (Quantifi Counterparty Risk) |
| Numerical Algorithms Group | Random Number Generators |
| Wolfram Mathematica | Symbolic math analysis (Mathematica) |
| Streambase | Complex events processing (StreamBase CEP Engine) |
| Risk Management Solutions | Catastrophic insurance analystics |
| Hanweck Associates | Options pricing (Volera) |
| SciComp, Inc | Derivative pricing (SciFinance) |
| Xcelerit | GPU SDK for C++, targeted for Monte Carlo and other numerical methods. |
Announced Financial Customers
- 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
Computational Finance Software for CUDA
- CUDA SDK Containing 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
- Volera Real-time Option Valuation Engine from Hanweck
- 3D Visualization of Market Data from Aqumin
- Risk Analysis using CUDA from Exegy Ticker Plant
- Numerical Algorithms Group Financial Routines for GPUs
- LIBOR market model Monte Carlo application
- Level 3 Finance
- Accelerated Trading Solutions from OnEye (Australia)
- Arbitragis Trading
- Enabling GPU Computing in the R Statistical Environment
- AccelerEyes Jacket™ for MATLAB®
- MATLAB®
- 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
- Monte-Carlo Methods in Finance using the Xcelerit Platform
- Tesla/CUDA Success stories
- Other Tesla Vertical Solutions
- CUDA Software Development Tools & Libraries
- Buy Tesla
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Jacket is a trademark of AccelerEyes