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GPU Computing Gems Jade Edition by Wen-mei W. Hwu

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Introduction

State of GPU Computing in Computational Finance

The ever-increasing sophistication of financial instruments and trading strategies, as well as strict regulatory requirements, leads to an enduring demand for faster and more accurate models. Computational finance encompasses the spectrum of algorithms to provide these models in applications such as options pricing, risk management, portfolio optimization, and algorithmic trading; GPUs are providing extraordinary performance benefits in the acceleration of the underlying numerical methods for calibration, pricing, and analytics. These benefits are frequently dispensed not only on reducing the time to get a result but also on improving the accuracy of the computation, reducing the cost ...

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