| 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: | NVIDIA GPU Technology Conference 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 |
