GPU Applications

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

GPU acceleration in Murex analytics


For information on key ISVs and applications, please visit the GPU Applications page.


Announced Financial Customers
> GVL Esther with GPU Acceleration
> 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
> ArrayFire GPU function library for C, C++, FORTRAN

See Also
> Tesla/CUDA Success stories
> Other Tesla Vertical Solutions
> CUDA Software Development Tools & Libraries
> Buy Tesla

Technical Reports on CUDA
> 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

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