Workgroup Financial Mathematics

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Monte-Carlo Methods on GPGPU

with Applications to Mathematical Finance.

30.09.2013 – 01.10.2013


This course will give an introduction on parallel programming on general purpose graphics devices (GPGPU) using NVIDIAs CUDA architecture. GPGPUs differ from ordinary CPUs by their vast amount of (rather simple) processor cores and therefore allow, when all cores are utilized efficiently, to outperform ordinary CPUs by several orders of magnitude. We will start with a brief overview on the hardware design of CUDA devices and general aspects of multi-threading, before we discuss the generation of random numbers on parallel architectures in detail. In general there are two approaches for this problem: The batch approach, where the challenge lies in determining a sequence of seed values which can be processed within independent streams but still yield in total a series of independent random numbers, and the skip-ahead approach, which aims at modifying a random number algorithm such that it is possible to jump ahead in the original sequence of random numbers. To conclude we will apply above methods for the valuation of derivatives and develop an efficient and numerically stable scheme for Monte-Carlo simulation on GPU devices.


  • Monday, September 30, 2013. 09:00 - 17:30
  • Tuesday, October 1, 2013. 09:00 - 17:30


The workshop takes place at

quantLab - Room B 121
LMU Institute of Mathematics
Theresienstr. 39
80333 Munich

A detailed location plan can be found here.


Tentative Schedule

Morning Session 1 9:00 - 10:30
Morning Session 2 11:00 - 12:30
Afternoon Session 1 14:00 - 15:30
Afternoon Session 2 16:00 - 17:30

The sessions will be divided between Theory (4 x 2h) and Practice (4 x 2h) in which the participants can work hands-on with the presented techniques.


Solid knowledge of C/C++, Basics in options pricing theory

Dr. Benedikt Wilbertz

Prof. Dr. Christian Fries

Christian Fries is head of model development at DZ Bank’s risk control and Professor for Applied Mathematical Finance at Department of Mathematics, LMU Munich.

His current research interests are hybrid interest rate models, Monte Carlo methods, and valuation under funding and counterparty risk. His papers and lecture notes may be downloaded from

He is the author of “Mathematical Finance: Theory, Modeling, Implementation”, Wiley, 2007 and runs

The payment of a workshop fee is required, according to the following table:

Rate Type of Participant
 950€  Practitioners
 650€  Practitioners being registered participants
of the "9th Fixed Income Conference"
(please mention upon registration)
 250€  Academics

Registration and Contact

The workshop will take place in a computer equipped room with limited places. A registration for the workshop is required. Please register via email to the Secretariat of the Workgroup in Financial Mathematics