Solutions

Graphics Processing Unit (GPU)

The Graphics Processing Unit (GPU) represents a "single-chip processor with integrated transform, lighting, triangle setup/clipping, and rendering engines”. In the financial sector, the potential of this resource could be used to improve financial computing, as faster pricing gains more revenue, better modelling contributes to less risk, and maximizing resources enhances efficiency. Nowadays, GPUs enable the calculation, simulation and prediction of prices and risks for complex options, OTC derivates and exotic option instruments, in seconds, rather than minutes or even hours. The architecture of the GPUs makes it possible to run several simulations simultaneously, thereby increasing the quality of the results. With more confidence in the data, it is possible to offer tighter spreads and gain competitiveness. GPU even provides the means to run complex models, that could not have been ran up until now. Results of very complex models can be obtained in real/near time, rather than overnight, which provides deeper insight into exposures, and thus make it possible to rapidly adjust positions and reduce risks.

In the GPU Demo, one can view the phantoms, i.e. two 3D graphics of a human breast, that are comprised of coloured spheres, that represent regular cells and black spheres that represent breast cancer cells. Phantom 2 is the final, complete stage of the filling process of the semi-cylinder with spheres. The entire shape can be rotated, zoomed in and out, and disassembled into smaller parts, allowing all spheres to be pulled out and back again into the semi-cylinder.

For more information, see Speed up of numeric calculations using a Graphics Processing Unit (GPU) and the GPU Demo.