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ICFP 2019
Sun 18 - Fri 23 August 2019 Berlin, Germany
Sun 18 Aug 2019 11:43 - 12:10 at Reindeer - Orthogonal Bases Chair(s): Gabriele Keller

We study the feasibility and performance efficiency of expressing a complex financial numerical algorithm with high-level functional parallel constructs. The algorithm we investigate is a least-square regression-based Monte-Carlo simulation for pricing American options. We propose an accelerated parallel implementation in Futhark, a high-level functional data-parallel language. The Futhark language targets GPUs as the compute platform and we achieve a performance comparable to an implementation optimized by NVIDIA CUDA engineers. In absolute terms, we can price a put option with 1 million simulation paths and 100 time steps in 20ms on a NVIDIA Tesla V100 GPU.

Sun 18 Aug

Displayed time zone: Amsterdam, Berlin, Bern, Rome, Stockholm, Vienna change

10:50 - 12:10
Orthogonal BasesFHPNC at Reindeer
Chair(s): Gabriele Keller Utrecht University
Generating Efficient FFT GPU Code with Lift
Bastian Köpcke University of Münster, Michel Steuwer University of Glasgow, Sergei Gorlatch
Link to publication DOI Pre-print File Attached
Lazy Evaluation in Infinite-Dimensional Function Spaces with Wavelet Basis
Olivier Verdier , Justus Sagemüller Western Norway University of Applied Sciences
Link to publication Pre-print
Functional Approach to Acceleration of Monte Carlo Simulation for American Option Pricing (extended abstract)
Wojciech Michal Pawlak University of Copenhagen, Denmark, Martin Elsman University of Copenhagen, Denmark, Cosmin Oancea University of Copenhagen, Denmark
Link to publication