GPU computing

[quantstart]

Has anyone used CUDA/OpenCL in their applications? I imagine for Monte Carlo type scenarios it provides an incredible speedup ("embarassingly parallel") but what about PDE methods?

 

[Bastian Gross]

One colleague of mine, Stephan Schmidt, has do some works with PDE on GPUs.
Nevertheless he done so on non-financial problems.

GPUTop - Topology Optimization on CUDA Graphics Cards (GPU) in 3D

 

[joel_b]

Nvidia - Cuda Toolkit for options pricing - QuantNetwork - Financial Engineering Forum

 

[quantstart]

A good thread. Thanks.

I wonder how things are going to improve now that Fermi is on the scene.

 

[DominiConnor]

Has anyone here actually used a Fermi ?

But when they get it out, I think it will help the market mature, the next heavy lift is getting people to write good for it. This is not trivial.

 

[Joy Pathak]

Used GPU computing for Computational Fluid dynamics simulations a lot.

 

[quantstart]

I imagine the academic community will be leading the way, particularly with CFD, as suggested by joyryde. I know that a lot of my previous codes would have benefitted immensely from a GPU setup, as they were easily parallelised.

I'll be saving up for my Fermi.

 

[melonakos]

Check out the following article on Automated Trader about GPUs being used for accelerating financial computations: http://www.automatedtrader.net/articles/software-review/31723/matlabs-racing-jacket
(requires a subscription)

You can download a PDF of the report here: http://www.accelereyes.com/solutions/finance