You have the technology
SciComp plans to introduce a more powerful and concise version of its Aspen specification language to shorten the code of complex partial differential equations and Monte Carlo pricing problems. It will be possible to hide technical and computational details and default to the company's SciFinance system, or expose details for user control. It will provide efficient serial versions, and the synthesised source code will also be structured and optimised for several multi-processing architectures. Generalised likelihood methods will enable computation of Monte Carlo sensitivities with reduced variance.
This article appeared in Risk Magazine
Home
SciFinance® automates pricing and risk model development
SciPDE™ and SciMC™ are the core SciFinance modules
SciGPU™ achieves blazing fast performance with CUDA and OpenMP
SciCalibrator™ provides pricing model calibration
SciIntegrator™ eases integration
Standalone customizable pricing and calibration tools.
Derivatives Pricing Models
A resource site with examples, documentation and more...
Communicate
Videos
News & Events
16 - 20 April 2012, Hotel Arts Barcelona
Software vendors and service providers ease GPU adoption
...this approach masks the complexity of parallel programming from the end user, leaving them free to define the characteristics of the pricing model that they want to run on GPUs.