GPU Acceleration for Computational Finance

DOI10.1142/9789811202391_0039MaRDI QIDQ5139447zbMATH OpenOpenAlexFDO

Authors Chuan-Hsiang Han

Publication date 9 December 2020

Published in Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/9789811202391_0039

zbMATH Keywords

computational financeGPUhigh frequency dataimplied volatilityMatlabparallel computing

Mathematics Subject Classification ID

Computational methods for problems pertaining to game theory, economics, and finance (91-08) Financial markets (91G15) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• scientific article; zbMATH DE number 1206118
• Efficient implementation of the Heston model using GPGPU
• Numerical Computations with GPUs
• High-performance computing in finance. Problems, methods, and solutions
• A parallel implementation on GPUs of ADI finite difference methods for parabolic PDEs with applications in finance
• A GPU application for high-order compact finite difference scheme
• GPU acceleration of the stochastic grid bundling method for early-exercise options

Cited in

(4)

• Efficiency of GPU computation on three computational models
• Large scale simulation of synthetic markets
• scientific article; zbMATH DE number 1206118 (Why is no real title available?)
• High-performance financial simulation using randomized quasi-Monte Carlo methods

Describes a project that uses

Uses Software

• Matlab

This page was built for publication: GPU Acceleration for Computational Finance

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5139447)