Beyond Simple Monte-Carlo: Parallel Computing with QuantLib

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Quasi Monte-Carlo on GPUs: Exotic Equity OptionsAccelerating Exotic Option Pricing and Model Calibration Using GPUs, Bernemann et al in High PerformanceComputational Finance (WHPCF), 2010, IEEE Workshop on, pages 17, Nov. 2010.Klaus SpanderenBeyond Simple Monte-Carlo: Parallel Computing with QuantLib
Quasi Monte-Carlo on GPUs: QuantLib Implementation◮ CUDA supports Sobol random numbers up to the dimension20,000.◮ Direction integers are taken from the JoeKuoD7 set.◮ On comparable hardware CUDA Sobol generators are approx.50 times faster than MKL.◮ Weights and indices of the Brownian bridge will be calculatedby QuantLib.Klaus SpanderenBeyond Simple Monte-Carlo: Parallel Computing with QuantLib
Page 1 and 2: Beyond Simple Monte-Carlo:Parallel
Page 3 and 4: Symmetric Multi-Processing: Overvie
Page 5 and 6: Multi-Threading: Overview◮ QuantL
Page 7 and 8: Multi-Threading: Singleton◮ Ricca
Page 9 and 10: Multi-Threading: Observer-PatternSc
Page 11 and 12: Finite Differences Methods on GPUs:
Page 13 and 14: Spare Matrix Libraries for GPUsPerf
Page 15 and 16: Example I: Heston-Hull-White Model
Page 17 and 18: Example II: Heston Model on GPUsHes
Page 19 and 20: Example III: Virtual Power PlantGTX
Page 21: Quasi Monte-Carlo on GPUs: Arithmet
Page 25 and 26: Quasi Monte-Carlo on GPUs: Scramble
Page 27 and 28: Message Passing Interface (MPI): Mo
Page 29 and 30: Message Passing Interface (MPI): Mo

Beyond Simple Monte-Carlo: Parallel Computing with QuantLib

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