Title :
Pricing structured equity products on GPUs
Author :
Bernemann, A. ; Schreyer, R. ; Spanderen, K.
Author_Institution :
Financial Engineering Equity Markets, WestLB AG, Düsseldorf, Germany
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;
Conference_Titel :
High Performance Computational Finance (WHPCF), 2010 IEEE Workshop on
Conference_Location :
New Orleans, LA, USA
Print_ISBN :
978-1-4244-9062-2
DOI :
10.1109/WHPCF.2010.5671821
