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Erschienen in:
2016 | Supplement | Buchkapitel
BLAS Extensions for Algebraic Pricing Methods
verfasst von : Claudio Albanese, Paolo Regondi, Mohammad Zubair
Erschienen in: Progress in Industrial Mathematics at ECMI 2014
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Abstract
PDE pricing methods such as backward and forward induction are typically implemented as unconditionally marginally stable algorithms in double precision for individual transactions. In this paper, we reconsider this strategy and argue that optimal GPU implementations should be based on a quite different strategy involving higher level
BLAS routines. We argue that it is advantageous to use conditionally strongly stable algorithms in single precision and to price concurrently sub-portfolios of similar transactions. To support these operator algebraic methods, we propose some BLAS extensions. CUDA implementations of our extensions turn out to be significantly faster than implementations based on standard cuBLAS. The key to the performance gain of our implementation is in the efficient utilization of the memory system of the new GPU architecture.