Nvidia Cuda in finance

 

The ability to calculate - and especially calculate very fast is an essential part of ScriptStudio. Several instruments like options and futures, has no meaning unless value are added in form of calculated numbers that give meaning and find the opportunities. ScriptStudio contains all the relevant financial formulas needed to calculate the correct theoretical price of a given financial instrument.

 

Performing calculations on thousands of processors

Most of the financial formulas used in ScriptStudio is optimized for utilizing GPU processors via CUDA. CUDA is NVIDIA’s parallel computing architecture that enables dramatic increases in computing performance by harnessing the power of the GPU (graphics processing unit). This approach works especially well within the area of finance.

In ScriptStudio we use CUDA optimzed operations for, but not excluded to:

• Portfolio optimizations
• Portfolio rebalancing
• Derivative formulas
• Yield curve approximations 
• Efficient frontier (Markowitz) calculations

Other Major users of this technology: 

Bloomberg using Cuda to speed up bond pricing

BNP Paribas using Tesla GPUs and Cuda to price derivatives

Computational Financ e with Cuda

 

Theoretical Pricing

When it comes to pricing of financial instruments, only highly-skilled numerical specialists, such as those working at SoftCapital, have sufficient understanding of this science. In Zonar and ScriptStudio all this knowledge has been incorporated into the system. The system comprises a wide range of models, from the simple finance formulae of Black & Scholes to advanced mutlivariate models and specialized models for certain options using CUDA computing. You will automatically receive all possible risk values together with the theoretical prices, and all finance calculations are carried out at a speed that surprises even the most demanding user. The system is build to handle massive updates from electronic markets; the calculations are done in a separate threads which means that even if the system is processing at full range simulation of a global finace portfolio; you will still be able to trade at full speed.