UnRisk-Q. Striving for the best performance we have achieved another quite remarkable result: the calibration of a Heston model, that requires approx. 1 Million single valuations (related to market data) took only 8 seconds - on an 8 core PC equipped with one Tesla 2050 GPU from NVIDIA - its improved double precision support is indispensable for this task.
For the valuations, we apply fourier-cosine series expansions that are very suitable for parallelization and some special techniques to avoid the little Heston trap.
Thinking of utilizing 4 of this GPUs and expected HW improvements, the calibration in less than a second, will be possible soon.
It is my strong believe that such speed-ups will revitalize the application of more complex models and adopt the inverting-the-market-dynamics paradigm.
We will make this available in UnRisk-Q soon.