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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

10:50 - 12:10: FHPNC - Orthogonal Bases at Reindeer
Chair(s): Gabriele KellerUtrecht University
FHPNC-2019-papers10:50 - 11:16
Bastian KöpckeUniversity of Münster, Michel SteuwerUniversity of Glasgow, Sergei Gorlatch
Link to publication DOI Pre-print File Attached
FHPNC-2019-papers11:16 - 11:43
Olivier Verdier, Justus SagemüllerWestern Norway University of Applied Sciences
Link to publication Pre-print
FHPNC-2019-papers11:43 - 12:10
Wojciech Michal PawlakUniversity of Copenhagen, Denmark, Martin ElsmanUniversity of Copenhagen, Denmark, Cosmin OanceaUniversity of Copenhagen, Denmark
Link to publication