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High Performance Parallelism Pearls Volume Two by James Reinders, Jim Jeffers

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Chapter 8

Parallel Numerical Methods in Finance

Shuo Li    Intel Corporation, USA

Abstract

This chapter covers the high-performance parallel numerical methods most frequently used by C/C++ application developers in quantitative finance in the course of implementing a high-performance program that use Newton-Raphson method to find solutions to partial differential equation based on Black-Scholes model for American option pricing. Particular attention is paid to taking advantage of data locality and how to express the numerical algorithm to achieve both vector (SIMD) and core parallelism

Keywords

Approximation

SIMD parallelism

Multithreaded programming

Performance

Optimization

Overview

In the realm of scientific calculations, many problems ...

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