Murex has been an early adopters of GPU for pricing and risk management of complex financial options. GPU adoption has generated performance boost of its software while reducing its usage cost. Each new generation of GPU has also shown the importance of the necessary reshaping of the architecture of the software using its GPU accelerated analytics. Minsky featuring far better GPU memory bandwidth and GPU-CPU interconnect rase the bar even further. Murex will show how it has handled this new challenge for its business.
Topics covered in this session include: Software for Trading, Risk Management and Processing
During the previous GTC Murex has shown how the company had adapted their generic Monte-Carlo & PDE codes compatible with a payoff language. With one more year of experience with GPUs and OpenCL Murex will show how the company has broadened the usage of GPUs for other subjects like vanilla screening or model calibration and focus on their new challenge Ã¢â?¬Ë?use as many GPUs as possibleÃ¢â?¬â?¢ for one single computation.