Application of heterogeneous computing systems to problems of financial mathematics

Shilina Natalia V.

Currently, the use of computing systems with heterogeneous architecture is becoming more popular. CUDA technology is applied to a huge number of problems, including in financial mathematics. The paper considers various methods of financial mathematics. The Monte Carlo method is used to build options pricing models. These algorithms are well suited for implementation on GPUs, since they are based on a large number of independent operations. The analysis of the efficiency of using GPUs in financial mathematics problems is carried out.

Keywords:Monte Carlo; options; CPU; GPU; CUDA.