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CUDA in Finance Workshop

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

Wolfram Technology Conference 2011
Conference location

Champaign, Illinois, USA

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.

*Mathematica Technology


CUDAInFinance.zip (1.5 MB) - ZIP archive

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