Thanks for posting the link to that talk. That is definitely up my proverbial alley and I should probably even circulate it around at work.
-Johann Devon McCormick <[email protected]> writes: > I'm going to a meeting about using GPUs as this is something in which I've > been interested for some time now: http://events.thalesians.com/ . I'd be > interested in hearing other concerns people have about the general > applicability of GPUs to programming problems. > > Here's the abstract of the talk to be given: > > This talk will discuss the application of Monte Carlo methods to a GPU > implementation of the LIBOR Market/BGM Model. In the process we will > discuss random number generation and inverse normal distribution functions > designed for execution on the GPU. We will demonstrate how some level of > abstraction can be implemented to obtain hardware agnostic code. We will > also briefly discuss the limitations of the GPU for the BGM model and point > at opportunities for the use of GPUs in the credit analytics space. > Resources, including open source code focused on BGM implementation in CUDA, > will be identified and used for illustration purposes to help jumpstart the > GPU development work. > > SPEAKER > > Peter heads the Rates Group at Quantifi. As Director, Peter is responsible > for managing the product development process of all Rates and Hybrid > Solutions within the Quantifi product suite. Peter started in Research and > Technology at Bear Stearns and Deutsche Bank. He traded fixed income > derivatives, government bonds and agencies for Lehman Brothers and Salomon > Brothers. He was responsible for fixed income derivatives trading desk for a > number of European banks. Most recently he refocused on technology and > specifically concentrated on machine learning and high frequency trading on > parallel systems prior to joining Quantifi in 2009. > > On Tue, Mar 1, 2011 at 4:52 PM, Raul Miller <[email protected]> wrote: > >> On Tue, Mar 1, 2011 at 4:36 PM, Alex Gian <[email protected]> >> wrote: >> > Thing is, with these modern GPU cards, usually on a PCI-Express bus, is >> > that you can have as many as you like... >> > >> > Also it's not OpenGL that you'll be using to implement anything, more >> > likely OpenCL (looking good currently, very C-like) >> > http://www.khronos.org/opencl/ >> > or NVIDIA's CUDA. >> >> The thing that bothers me about CUDA is that not only is it locked >> into one vendor, but that you apparently have to know which card you >> are programming against to get anything meaningful done (though that >> might have changed since I last tried to figure it out, or maybe my >> initial impression was wrong). >> >> But OpenCL looks promising. >> >> -- >> Raul >> ---------------------------------------------------------------------- >> For information about J forums see http://www.jsoftware.com/forums.htm >> ---------------------------------------------------------------------- For information about J forums see http://www.jsoftware.com/forums.htm
