Sunday, August 20, 2006

GPGPU for Faster Options Math in Silicon

Ever since the FPGA discussion piqued my interest a few months ago I've been paying more attention than usual to other high speed opportunities, the most compelling of which has to be the GPGPU movement.

What first got my attention were two articles in IEEE Computer magazine on Game Physics in Silicon & the power of GPUs.

Check out NVIDIA who also happens to have a good story around SLI (see chapter 8), which allows multiple GPUs to work together in parallel. Rounding out the vendor mix is Ageia whose PhysX API seems to be the closest to Microsoft and the XBox.

Can you imagine having GPU access from .NET as well? The answer is Accelerator.

For general GPGPU info check out http://www.gpgpu.org/

So what goes faster when you throw it on the GPU?

For starters, how about the Fast Fourier Transform.

Peter Carr talks about the FFT in the context of jumpier Black Scholes.

Binomial options pricing can also benefit from the FFT, with better sensitivity to stoch vol, etc....

Exciting stuff indeed !!!