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Title:Real-Time Risk Simulation: The GPU Revolution In Profit Margin Analysis
Authors:Gilles Civario, Renato Miceli, 2012
Abstract: Discover how ICHEC helped a world leading company in its sector, to dramatically speed-up and improve the quality of its real-time risk management tool chain. In this session, we present the method used for porting the core-part of the simulation engines to GPUs using CUDA. This porting was realised on two very different simulation algorithms and resulted in speed-ups of 2 to 3 orders of magnitude, allowing much greater accuracy of the results in a real-time environment.
ICHEC Project:
Publication:Session at NVIDIA GPU Technology Conference 2012 (GTC 2012). San Jose, USA. May 2012
URL: http://www.gputechconf.com/gtcnew/on-demand-gtc.php?sessionTopic=22&searchByKeyword=S0034&submit=&select=+&sessionEvent=2&sessionYear=2012&sessionFormat=3
Keywords: Finance, GTC 2012 - ID S0034
Status: Published

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