Using NVIDIA GPUs for Computational Finance

HPC (High Performance Computing) has become very important in the finance sector. Based on the list of the world's TOP 500 supercomputers it is arguable that the finance industry is now the leading HPC user in the UK.

The big development in HPC in the last few years has been the emergence of manycore GPUs. NVIDIA's current Kepler GPUs have up to 2880 cores on a single chip, and this is complemented by the CUDA software development environment which is based on C/C++ with a few extensions.

Within the finance sector:

In addition, several ISV's have developed computational finance applications running on NVIDIA GPUs:

An ISV with a different approach is Xcelerit which has developed an SDK with a very clean API for streaming Monte Carlo applications on a variety of platforms. The user develops their own application in C++, defining certain classes and methods, and then through some C++ magic it is incorporated to produce executable code for NVIDIA GPUs as well as distributed multicore CPUs. White Papers are available here.

Another ISV, Misys has developed a DSL (domain specific language) which is processed by a Java-based tool to produce optimised CUDA code; further information is available in this GTC 2015 talk.

Other GTC 2015 computational finance talks are available here.

For more information on the use of NVIDIA GPUs in finance see: