• DocumentCode
    1721114
  • Title

    Pricing structured equity products on GPUs

  • Author

    Bernemann, A. ; Schreyer, R. ; Spanderen, K.

  • Author_Institution
    Financial Engineering Equity Markets, WestLB AG, Düsseldorf, Germany
  • fYear
    2010
  • Firstpage
    1
  • Lastpage
    7
  • Abstract
    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.
  • Keywords
    Correlation; Graphics processing unit; Kernel; Monte Carlo methods; Prefetching; Pricing;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    High Performance Computational Finance (WHPCF), 2010 IEEE Workshop on
  • Conference_Location
    New Orleans, LA, USA
  • Print_ISBN
    978-1-4244-9062-2
  • Type

    conf

  • DOI
    10.1109/WHPCF.2010.5671821
  • Filename
    5671821
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=1721114