Computational Finance on the GPU
Computational Finance on the GPU
Computational Finance on the GPU
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C<strong>on</strong>clusi<strong>on</strong><br />
• Computers are used to model financial instruments for<br />
price, sensitivity and risk<br />
• Algorithms include Finite Differences and M<strong>on</strong>te Carlo<br />
• Parallelising algorithms requires structural support from<br />
<strong>the</strong> applicati<strong>on</strong><br />
– Benefit is substantial <strong>on</strong> all measures<br />
– <strong>GPU</strong>s are transforming <strong>the</strong> industry<br />
• Opportunities for algorithmic development
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