Computational Finance

There is ongoing work in options pricing, risk analysis, and algorithmic trading using CUDA. This work along with some representative charts on random number generators and Monte-Carlo simulations are presented below.

NAG Numerical Routines for GPUs	Monte Carlo pricing models using SciFinance

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• Bloomberg using GPUs to Speed Up Bond Pricing
• BNP Paribas using Tesla GPUs to Price Derivatives

• CUDA SDK contains code samples for random number generators and Monte Carlo, Black-Scholes, and Binomial option pricing
• Mersenne Twister RNG Code from the Original Authors of the MT
• Derivatives pricing using SciFinance from SciComp
• Voleara real-time option valuation engine from Hanweck
• 3D Visualization of Market Data from Aqumin
• Risk Analysis using CUDA from Exegy Ticker Plant
• LIBOR market model Monte Carlo application
• Level 3 Finance
• PricingCatalyst pricing and hedging library from QuantCatalyst
• Accelerated Trading Solutions from OnEye (Australia)
• Arbitragis Trading
• MATLAB acceleration

• Mike Giles at Oxford
• Reports from Claudio Albanese: Callable Swaps, Continuous Time Finance
• Financial Monte Carlo Simulation on Architecturally Diverse Systems
• Wilmott Magazine: Derivatives pricing from QuantCatalyst
• Option Pricing from OnEye (Australia)
• Asian Option Pricing on a Cluster of GPUs

• MATLAB acceleration
• Other Tesla Vertical Solutions

• MATLAB Acceleration
• Other Tesla Vertical Solutions
• CUDA Software Development