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2017 GTC San Jose

S7417 - GPU Acceleration of Monte Carlo Simulation for Capital Markets and Insurance

Session Speakers
Session Description

Learn about CUDA-based GPU acceleration of Monte Carlo simulations in the financial industry for pricing, risk management, and regulatory calculations. We'll provide an overview of three use cases. (1) Pricing with tens or hundreds of thousands of Monte Carlo "paths" or scenarios, depending on complexity of the financial instrument. (2) For new international regulatory capital requirements introduced in January 2016 and also for new margin requirements that are in effect since September 2016, we'll discuss calculation of cost of capital and margin throughout the life of a portfolio which requires nested Monte Carlo simulation. (3) Since the insurance industry uses a smaller number of Monte Carlo paths for pricing, we'll consider other approaches to take advantage of GPU acceleration, such as grouping similar policies together and policy code optimizations. We stress the importance of NVLink for accelerating the pricing of insurance policies.


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