Risk Analytics In Time

About our achievements and the benefits of concrete partnership with a leading maker of hybrid CPU-GPU systems - a white paper on HPC in Computational Finance by Utilizing NVIDIA GPUs.

Conclusion: Modern GPUs, like NVIDIA Tesla 20 series, in combination with the CUDA development platform, are powerful engines for high performance tasks in computational finance. The UnRisk GPU extensions obtained speedups in the  order of 100 compared to the single CPU thread for several model problems in calibration and valuation of stochastic volatility problems.