GPU-Enabled Pricing Analytics

GPU-Enabled Pricing Analytics

As one of the earliest adaptors of NVIDIA’s GPU technology for use in financial services, SciComp has many years of experience and a high level of expertise with GPU technology. A key area of focus has been the GPU-enablement of derivatives pricing models.

NVIDIA CUDA

SciFinance: GPU Pricing Code Without Programming

SciFinance automatically creates derivative pricing models source code from high level specifications. SciGPU_MC, the parallel computing component of SciFinance, automatically generates CUDA (NVIDIA GPU) source code for any Monte Carlo-based pricing model. Simply add the keyword “CUDA” to your model specification and SciFinance automatically generates the CUDA source code using its pre-implemented set of knowledge rules. Absolutely no GPU or parallel programming expertise is required.

The resulting GPU-enabled code is structured to take advantage of available GPU hardware and software features for astounding accelerations. In addition, all SciFinance generated Monte Carlo pricing model codes are OpenMP-compliant providing near linear speedups in a multi-processor environment.

SciComp Consulting: GPU Modeling Expertise

SciComp Consulting, our highly-skilled and professional quantitative development team, provides expert, cost-effective GPU programming services for any PDE (partial differential equation) based pricing model. In addition, SciComp consulting also GPU-enables pricing model calibration routines and risk system components.

Find out more about our GPU Enabled Pricing Analytics. Contact us >>