Beyond Simple Monte-Carlo: Parallel Computing with QuantLib
Beyond Simple Monte-Carlo: Parallel Computing with QuantLib
Beyond Simple Monte-Carlo: Parallel Computing with QuantLib
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Quasi <strong>Monte</strong>-<strong>Carlo</strong> on GPUs: PerformanceSobol Brownian Bridge GPU vs CPUSpeed−up GPU vs CPU0 20 40 60 80●●●●●● single precision, one factorsingle precision, four factorsdouble precision, one factor●●●●●●10 1 10 2 10 3 10 4Path LengthsComparison GPU (GTX 560@0.8/1.6Ghz) vs. CPU (i5@3.0GHz)Klaus Spanderen<strong>Beyond</strong> <strong>Simple</strong> <strong>Monte</strong>-<strong>Carlo</strong>: <strong>Parallel</strong> <strong>Computing</strong> <strong>with</strong> <strong>QuantLib</strong>
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