Computational Finance
There is ongoing work in options pricing, risk analysis, and algorithmic trading using CUDA. This work along with some representative charts on random number generators and Monte-Carlo simulations are presented below.
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| NAG Numerical Routines for GPUs | Monte Carlo pricing models using SciFinance |
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Announced Financial Customers Computational Finance Software for CUDA
- CUDA SDK contains code samples for random number generators and Monte Carlo, Black-Scholes, and Binomial option pricing
- Mersenne Twister RNG Code from the Original Authors of the MT
- Derivatives pricing using SciFinance from SciComp
- Voleara real-time option valuation engine from Hanweck
- 3D Visualization of Market Data from Aqumin
- Risk Analysis using CUDA from Exegy Ticker Plant
- LIBOR market model Monte Carlo application
- Level 3 Finance
- PricingCatalyst pricing and hedging library from QuantCatalyst
- Accelerated Trading Solutions from OnEye (Australia)
- Arbitragis Trading
- MATLAB acceleration
- Mike Giles at Oxford
- Reports from Claudio Albanese: Callable Swaps, Continuous Time Finance
- Financial Monte Carlo Simulation on Architecturally Diverse Systems
- Wilmott Magazine: Derivatives pricing from QuantCatalyst
- Option Pricing from OnEye (Australia)
- Asian Option Pricing on a Cluster of GPUs
