Archive for the ‘Finance’ Category
GPU Computing for Financial Engineering Workshop – Level 3 Finance
I personally have interests in Finance and Monte Carlo techniques, so this workshop organized by Level 3 Finance is very interesting by my opinion.
Summary: The workshop provides an introduction to GPU programming based on the nVidia CUDA language and reviews applications to Financial Engineering. The morning session covers hardware configurations of nVidia Tesla cards, kernel writing with CUDA, CUBLAS and CUFFT libraries, asynchronous programming patterns and multi-GPU platforms. The afternoon and evening sessions dwell on practical applications to Financial Engineering.
Some highlights by me:
- Moment methods for path dependent options
- Kernels and long step Monte Carlo
- LIBOR Monte Carlo example
