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NVIDIA GTC San Jose 2017

S7262 - A General Framework for Hybrid Stochastic Model Calibration on the GPU

Session Speakers
Session Description

We'll present an overview of a GPU-based approach to calibrating hybrid models in finance, that is, multi-factor correlated stochastic processes to market data (term structure and volatility surfaces). Examples of such models range from the relatively benign 3-factor JY inflation model, to single currency and forex equity baskets, up to a completely general basket of rate/inflation/equity/forex/credit processes described by a global correlation matrix. Due to the inherently multi-threaded nature of Monte Carlo path generation, and the availability of cuRAND, a GPU implementation vastly outperforms CPU or PDE solvers, which are plagued by high dimensionality. Details of the algorithm, as well as a demonstration and analysis of timings and memory limitations will be covered.


Additional Session Information
Intermediate
Talk
Finance
Financial Services
25 minutes
Session Schedule