Computational Finance on the GPU

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Derivatives • Based on one or more underlying assets – Equities, FX, credit • Many types of contract – Forwards and futures – Options – Swaps • Exchange-traded or Over-the-Counter (OTC)
Example: Options • Holder has the right to buy (call) or sell (put) the underlying asset – By a certain date – At a certain price Payoff put where K S max( K strike spot price price S, 0) Profit ($) 2500 2000 1500 1000 500 0 -500 0 10 20 30 40 50 60 Stock price ($)
Page 1 and 2: Computational <str
Page 3 and 4: AGENDA Financial Instruments Who’
Page 5 and 6: Financial Instruments Cash Instrume
Page 7 and 8: Commodities • Raw resource - Agri
Page 9: Foreign Exchange • Also: Forex or
Page 13 and 14: Traders • Trading: - Standardised
Page 15 and 16: Quants • Develop and implement mo
Page 19 and 20: Traders • Determine price for tra
Page 23 and 24: Binomial Trees • Represent possib
Page 25 and 26: Binomial Trees
Page 27 and 28: Finite Differences • Solve the Pa
Page 29 and 30: Finite Differences - Explicit • R
Page 31 and 32: Explicit Finite Differences on the
Page 33 and 34: Monte Carlo • Sample a random wal
Page 35 and 36: Monte Carlo on the GPU Generate Ran
Page 37 and 38: Monte Carlo - Single Kernel parfor
Page 39 and 40: Software legacy • Millions of lin
Page 41 and 42: Case Study: Equity Derivatives 15 1
Page 43 and 44: Case Study: Real-time Options 1 Sam
Page 47: Resources • GTC presentations - <

Computational Finance on the GPU

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