Application of GPU to Three Computational Models

In this paper, we report three applications of Graphics Processing Unit (GPU) based algorithms for high performance computation of mathematical models with the Fron Tier++ code. In the first set of simulations, the system of one-dimensional gas dynamics equations is solved by the Weighed Essentially Non-Oscillatory (WENO) scheme, we achieved 7-20 times speedup for different mesh sizes on one GPU device. In the second case, the spring model for fabric dynamics is studied, the GPU code is about 10-20 times faster than the pure CPU code for different mesh sizes. In the last case, a GPU enhanced numerical algorithm for American option pricing under the generalized hyperbolic distribution is studied. Using one GPU device, we have achieved 2 times speedup for the price of single option and 100 times speedup for multiple options.