Thursday, April 10, 2008

Computational Finance - Using your Nvidia card to perform risk analysis with Cuda

High-end graphics card GPUs like Nvidia's 8800 are hundreds of times more powerful than Intel Duo-Core CPUs.  So why not use them for something other than graphics?

A great way to justify purchasing a couple of these for your home/work PC for something other than just gaming.

Monte-Carlo Option Pricing with Multi-GPU support For a direct link to this sample, right-click and copy the URL (shortcut) of this link icon.
This sample evaluates fair call price for a given set of European options using Monte-Carlo approach, taking advantage of all CUDA-capable GPUs installed in the system.
GeForce® 8 Series
Quadro® FX 5600 or later
Tesla™
Download - Windows
Download - Linux


Monte-Carlo Option Pricing For a direct link to this sample, right-click and copy the URL (shortcut) of this link icon.
This sample evaluates fair call price for a given set of European options using Monte-Carlo approach.
GeForce® 8 Series
Quadro® FX 5600 or later
Tesla™
Whitepaper
Download - Windows
Download - Linux


Black-Scholes Option Pricing For a direct link to this sample, right-click and copy the URL (shortcut) of this link icon.
This sample evaluates fair call and put prices for a given set of European options by Black-Scholes formula.
GeForce® 8 Series
Quadro® FX 5600 or later
Tesla™
Whitepaper
Download - Windows
Download - Linux


Binomial Option Pricing For a direct link to this sample, right-click and copy the URL (shortcut) of this link icon.
This sample evaluates fair call price for a given set of European options under binomial model.
GeForce® 8 Series
Quadro® FX 5600 or later
Tesla™
Whitepaper
Download - Windows
Download - Linux

Computational Finance

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