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GPUs, Monte Carlo Simulation and Kooderive with Professor Mark Joshi


A case study of how to obtain 140 times speed-ups over C++ code for your Monte Carlo pricing models using the open source project Kooderive and a Tesla K20 graphics card.

This is a practical course for Financial Market Participants.

GPUs promise much in terms of raw computing power. The challenge lies in how to harness that power for computing derivatives prices. In this intensive 3-day course, we teach how to use the Kooderive code to develop millions of Monte Carlo paths for realistic complex cases in seconds. In particular, we look at how to implement the LIBOR market model and least-squares regression in a flexible efficient manner. The course demonstrates optimal design choices and how to achieve maximum performance from the GPU, while describing how these choices are expressed in the Kooderive code. At the end of the course, delegates will be familiar with the workings of Kooderive and be in a position to adapt it to their own ends.

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