Mathematica 9 is now available

Wolfram Library Archive


Courseware Demos MathSource Technical Notes
All Collections Articles Books Conference Proceedings
Title Downloads

CUDA in Finance Workshop
Authors

Michael Kelly
Organization: Wolfram Research, Inc.
Department: Wolfram Technology Group
Dylan Roeh
Organization: Wolfram Research, Inc.
Department: Kernel Technology
Conference

Wolfram Technology Conference 2011
Conference location

Champaign, Illinois, USA
Description

The addition of GPU computing capabilities to Mathematica allows for a greater fusion of high performance and symbolic computing than was previously possible. In this workshop we will show how to access the latest built-in CUDA-accelerated finance functions. In addition, Mathematica's powerful symbolic manipulation tools allow one to easily create or modify kernels on the fly based on potentially complex parameters. We will demonstrate a framework for very general GPU-accelerated stochastic calculus in Mathematica using symbolic generation of CUDA kernels. Further, we will show examples of real-world problems from the field of finance, which can see considerable performance improvement in this framework.
Subject

*Mathematica Technology
URL

http://www.wolfram.com/events/technology-conference-2011
Downloads

Download
CUDAInFinance.zip (1.5 MB) - ZIP archive