GPU-based implementation of a multifactor term structure model

The corner stone of the project is GPU-based implementation of a multifactor term structure model. The project aims to Implement a “typical” advanced pricing model, such as LMM, using OpenCL, a C language-based open standard for parallel computing; Test the prototype against more conventional benchmark implementations; e.g. a pre-existing implementation based on QuIC Script, QuIC’s proprietary scripting language; Obtain performance metrics that are clear enough for QuIC management to make an informed decision about whether further investment is warranted. It is of interest to QuIC to investigate the possibility of extending its existing software platform to accommodate its own native GPU-based financial modeling capabilities.

Faculty Supervisor:

Andrey Pavlov

Student:

Partner:

Discipline:

Business

Sector:

Professional, scientific and technical services

University:

Simon Fraser University

Program:

Accelerate