Workgroup Financial Mathematics

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Monte-Carlo Methods on GPGPU with Applications to Mathematical Finance

30.09.2013 at 00:00 

Lecturers: Dr. Benedikt Wilbertz, Prof. Dr. Christian Fries

Dates: 30 September, 2013; 1 October, 2013

    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

Location: The workshop takes place at „quantLab” which is located in Room B 121 LMU Institute of Mathematics, Theresienstr. 39, 80333, Munich
(how to find us).

Workshop Description


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.

    Format: The sessions will be divided between Theory (4 x 2h) and Practice (4 x 2h).
  • Note: The course will be in English.

Pre-requisites: Solid knowledge of C/C++, Basics in options pricing theory

Workshop Fee: 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