Solutions

Graphics Processing Unit (GPU)

The GPU is a graphics processing unit and 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. This makes sense, because faster pricing gains more revenue, better modeling contributes to less risk and maximizing resources enhances the efficiency. Nowadays, GPUs enable the calculation, simulation, as well as prediction of prices and risk for complex options, OTC derivates, complex 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 spread and gain competitiveness. GPU even provides the means to run complex models, that up until now could not possibly be ran. Results of very complex models can be obtained in real/near time, rather than overnight, which provides deeper insight into exposures, making it possible to rapidly adjust positions and reduce risk.

In the “GPU Demo”, one can view the Phantoms, i.e. two 3D graphics of a human breast, that are comprised of coloured spheres, representing its cells, as well as black spheres, representing 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 as well as disassembled in smaller parts, allowing all spheres to be pulled out and then put 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.