GPU Acceleration for Computational Finance

Chuan-Hsiang Han

Chapter 39 in Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning:(In 4 Volumes), 2020, pp 1519-1532 from World Scientific Publishing Co. Pte. Ltd.

Abstract: Recent progress of graphics processing unit (GPU) computing with applications in science and technology has demonstrated tremendous impact over the last decade. However, financial applications by GPU computing are less discussed and may cause an obstacle toward the development of financial technology, an emerging and disruptive field focusing on the efficiency improvement of our current financial system. This chapter aims to raise the attention of GPU computing in finance by first empirically investigating the performance of three basic computational methods including solving a linear system, Fast Fourier transform, and Monte Carlo simulation. Then a fast calibration of the wing model to implied volatilities is explored with a set of traded futures and option data in high frequency. At least 60% executing time reduction on this calibration is obtained under the Matlab computational environment. This finding enables the disclosure of an instant market change so that a real-time surveillance for financial markets can be established for either trading or risk management purposes.

Keywords: Financial Econometrics; Financial Mathematics; Financial Statistics; Financial Technology; Machine Learning; Covariance Regression; Cluster Effect; Option Bound; Dynamic Capital Budgeting; Big Data (search for similar items in EconPapers)
JEL-codes: C01 C1 G32 (search for similar items in EconPapers)
Date: 2020
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