Computational Finance on the GPU
Computational Finance on the GPU
Computational Finance on the GPU
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Explicit Finite Differences <strong>on</strong> <strong>the</strong> <strong>GPU</strong><br />
• Partiti<strong>on</strong> <strong>the</strong> grid across<br />
<strong>the</strong> SMs<br />
• Each SM requires a<br />
“halo”<br />
– Halo size determines how<br />
many time steps in batch<br />
– After each batch,<br />
distribute new halos
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