you try to make an hybrid model
the first model to test in a simple brownian geometric on Fx
In this case with stochastic rates you can easily find closes form formula for european option. To price European option it's the simple BS formula with a different vol (with a simple Ito formula you...
You must use Monte Carlo model if you want to simule multivariate heston
In a first time you can just make a Euler scheme for the diffusion and the only problem is to reduce the matrix covariance between S1,V1,S2,V2 you can use cholevski decomposition
In a second time for the diffusion you can...
Hi, you can find here a SIMD Mersenne Twister
The big advantages of Mersenne Twister is that you can generate random number by group and consequently with CUDA ;)
For compatibility just look OpenCL and i think next year OpenCL will be a standard
However, intel with Larabee will be a good competitor
500,000 options in 1.5seconds, it's not a real case because you will need cudamemcpy for all your data : Forward, Discount etc... It's the famous example in...
1) Just go to OpenCL
Opencl is universal ;)
3) "The bus speed of your system
will allow your GPU to write to and from system RAM in an efficient manner especially if you
employ a PCIe 2.0 card and DDR3 ram"
Ok, but if for each evaluation of your payoff you need to put GPU data on CPU data...
1) NVIDIA-CUDA, AMD-Brook and IBM for the CELL are three possibility to use new way with GPU (altough cell it's a little be different)
However, openCL was launched today with the first header.
I think it would be the solution in the future
OpenCL - Wikipedia, the free encyclopedia
In fact, Quantifi develop new methods because with the classic gaussian copula, the base correlation of the tranche 15-30 for example can not be calibrated with constant recovery of 0.4. Moreover, we see a price in the market for the Tranche 60-100% which must be 0. bp with a constant recovery...