GPU computing in FinanceOct 15, 2012 · 1 minute read · Comments
Very interesting presentation from Murex about their GPU computing. Some points were:
- GPU demand for mostly exotics pricing & greeks
- Local vol main model for EQD exotics. Local vol calibrated via PDE approach.
- Markov functional model becoming main model for IRD.
- Use of local regression instead of Longstaff Schwartz (or worse CVA like sim of sim).
- philox RNG from DE Shaw. But the presenter does not seem to know RNGs very well (recommended Brownian Bridge for Mersenne Twister!).
- An important advantage of GPU is latency. Grid computing only improves throughput but not latency. GPU improves both.