GPU 4 Finance Some results.

Mark,

[url=“http://web.njit.edu/~alexg/pubs/papers/cs0202.ps.gz”]http://web.njit.edu/~alexg/pubs/papers/cs0202.ps.gz[/url]
[url=“http://web.njit.edu/~alexg/pubs/papers/cs0203.ps.gz”]http://web.njit.edu/~alexg/pubs/papers/cs0203.ps.gz[/url]

These are the papers that I followed for my parallel algorithm!

The papers are from Mr.Alexandros Gebessiotis! The final papers are available for a paid download from Sci direct!

but these draft copies are in public domain and are good enough!

I have bettered the trinomial algorithm as well (around 100x)! Will be posting better results in a couple of days!

[url=“The Official NVIDIA Forums | NVIDIA”]The Official NVIDIA Forums | NVIDIA

The lack of dynamic block replacement in hardware is pinching these algorithms… See URL above… The financial algos start with big arrays and taper away like a triangle as computation proceeds – exposing latencies… Anyway, we can always write code to bypass it…

More to come…in forthcoming months…

Best Regards,
Sarnath

Posted upto date results for binomial and trinomial option pricing!

2 approaches have been tried for trinomial pricing. Both methods have been profiled! Both the approaches have yielded good results and the speed up hovers around 96x for trinomial. This one has bettered the previous 76x.

Kindly look @ the attachment in the first post - I have replaced it with the most recent numbers!

All,

Just to boast our new speedups …

With an enhanced parallel algorithm, we are getting around 100x to 200x performance for the binomial option pricing algorithm against -O2 optimized CPU code.

The trinomial speedup for european is around 48x now

GPU: 8800 GTX, CPU: AMD Athlon 2.41GHz

A detailed speedup summary for european and american option pricing will be posted within 2 weeks time frame.

Very impressive! It’s amazing you can get a two orders of magnitude speed-up with a commercial graphics card, isn’t it?

True! Thanks for your comments!

Looks good indeed!

Is this code in the public domain at all?