Pricing structured equity products on GPUs

Pricing and risk analysis for today's structured equity products is computationally more and more demanding and time consuming. GPUs offer the possibility to significantly increase computing performance even at reduced costs. We applied this technology to replace a large amount of our CPU based...

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Bibliographic Details
Main Authors: Bernemann, A., Schreyer, R., Spanderen, K.
Format: Conference Proceeding
Language:English
Subjects:
Correlation
Graphics processing unit
Kernel
Monte Carlo methods
Prefetching
Pricing
Online Access:Request full text
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Summary:Pricing and risk analysis for today's structured equity products is computationally more and more demanding and time consuming. GPUs offer the possibility to significantly increase computing performance even at reduced costs. We applied this technology to replace a large amount of our CPU based computing grid by hybrid GPU/CPU pricing engines. One GPU based pricing engine with two Tesla C1060 replaced 140 CPU cores in performing Monte Carlo based simulation of our productive structured equity portfolio with the local and stochastic volatility model.
DOI:10.1109/WHPCF.2010.5671821