Related papers: Sensitivity Analysis in the Dupire Local Volatilit…

The graphics processing unit (GPU) has emerged as a powerful and cost effective processor for general performance computing. GPUs are capable of an order of magnitude more floating-point operations per second as compared to modern central…

Predicting the next activity of a running process is an important aspect of process management. Recently, artificial neural networks, so called deep-learning approaches, have been proposed to address this challenge. This demo paper…

High performance computing (HPC) is a very attractive and relatively new area of research, which gives promising results in many applications. In this paper HPC is used for pricing of American options. Although the American options are very…

Distributed training frameworks, like TensorFlow, have been proposed as a means to reduce the training time of deep learning models by using a cluster of GPU servers. While such speedups are often desirable---e.g., for rapidly evaluating…

Nowadays, with the availability of massive amount of trade data collected, the dynamics of the financial markets pose both a challenge and an opportunity for high frequency traders. In order to take advantage of the rapid, subtle movement…

The proposed framework introduces a novel multidimensional representation of money using tensor analysis, enabling a more granular examination of economic interactions and capital flow. By treating money as a multidimensional entity, this…

This thesis applies entropy as a model independent measure to address three research questions concerning financial time series. In the first study we apply transfer entropy to drawdowns and drawups in foreign exchange rates, to study their…

Tensor Processing Units (TPUs) are specialized hardware accelerators developed by Google to support large-scale machine-learning tasks, but they can also be leveraged to accelerate and scale other linear-algebra-intensive computations. In…

In this paper, we present a very fast Monte Carlo scheme for additive processes: the computational time is of the same order of magnitude of standard algorithms for Brownian motions. We analyze in detail numerical error sources and propose…

Tensor Processing Units (TPUs) were developed by Google exclusively to support large-scale machine learning tasks. TPUs can, however, also be used to accelerate and scale up other computationally demanding tasks. In this paper we repurpose…

The computation of Greeks is a fundamental task for risk managing of financial instruments. The standard approach to their numerical evaluation is via finite differences. Most exotic derivatives are priced via Monte Carlo simulation: in…

TensorFlow is a popular cloud computing framework that targets machine learning applications. It separates the specification of application logic (in a dataflow graph) from the execution of the logic. TensorFlow's native runtime executes…

Power system operators need new, efficient operational tools to use the flexibility of distributed resources and deal with the challenges of highly uncertain and variable power systems. Transmission system operators can consider the…

This short paper discusses an efficient implementation of \emph{sampled softmax loss} for Tensorflow. The speedup over the default implementation is achieved due to simplification of the graph for the forward and backward passes.

We have developed a Python package ZMCintegral for multi-dimensional Monte Carlo integration on multiple Graphics Processing Units(GPUs). The package employs a stratified sampling and heuristic tree search algorithm. We have built three…

We consider the infinite dimensional Heston stochastic volatility model proposed in \arXiv:1706:03500. The price of a forward contract on a non-storable commodity is modelled by a generalized Ornstein-Uhlenbeck process in the Filipovi\'{c}…

Recently, deep learning has been an area of intense research. However, as a kind of computing-intensive task, deep learning highly relies on the scale of GPU memory, which is usually prohibitive and scarce. Although some extensive works…

This paper introduces open-source computational fluid dynamics software named open computational fluid dynamic code for scientific computation with graphics processing unit (GPU) system (OpenCFD-SCU), developed by the authors for direct…

We present MadFlow, a first general multi-purpose framework for Monte Carlo (MC) event simulation of particle physics processes designed to take full advantage of hardware accelerators, in particular, graphics processing units (GPUs). The…

In this paper we introduce efficient Monte Carlo estimators for the valuation of high-dimensional derivatives and their sensitivities (''Greeks''). These estimators are based on an analytical, usually approximative representation of the…