Sorry about the double-posting:
Is any1 out there who has worked on speeding up financial algos?
I am working on the trinomail tree method of option pricing. I am getting speedups of the order of 55 to 65x , which I feel is kindaa less…
The speedup was measured against an un-optimized CPU program running on an Intel 2.42GHz with 2GB RAM. The GPU used was 8800 GTX.
I am yet to analyse and optimize my GPU program.
All comments welcome!