Quantitative finance collector
C++ Matlab VBA/Excel Java Mathematica R/Splus Net Code Site Other
Feb 26

gpusvcalibration: A R Package for Fast Stochastic Volatility Model Calibration Using GPUs

Posted by abiao at 15:21 | Default | Comments(2) | Reads(1509)

Quotation
In this paper we describe the gpusvcalibration R package for accelerating stochastic volatility model calibration on GPUs. The package is designed for use with existing CRAN packages for optimization such as DEOptim and nloptr. Stochastic volatility models are used extensively across the capital markets for pricing and risk management of exchange traded financial options. However, there are many challenges to calibration, including comparative assessment of the robustness of different models and optimization routines. For example, we observe that when fitted to sub-minute level mid-market quotes, models require frequent calibration every few minutes and the quality of the fit is routine sensitive.

The R statistical software environment is popular with quantitative analysts in the financial industry partly because it facilitates application design space exploration. However, a typical R based implementation of a stochastic volatility model calibration on a CPU does not meet the performance requirements for sub-minute level trading, i.e. mid to high frequency trading. We identified the most computationally intensive part of the calibration process in R and off-loaded that to the GPU. We created a map-reduce interface to the computationally intensive kernel so that it can be easily integrated in a variety of R based calibration codes using our package. We demonstrate that the new R based implementation using our package is comparable in performance to a C/C++ GPU based calibration code.


http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2394306


Reagan  Will Email
2019/08/10 00:54
Math finance has always been an amazing asset to me when it came to bargaining for a limited prove. The a-writer review is beyond me even though I try my best to avoid situations with casualties.
WEBSUCCESS Media Network Homepage
2019/12/02 13:55
You made such an interesting piece to read, giving every subject enlightenment for us to gain knowledge. Thanks for sharing the such information with us to read this...  WEBSUCCESS Media Network
Pages: 1/1 First page 1 Final page
Add a comment
Emots
Enable HTML
Enable UBB
Enable Emots
Hidden
Remember
Nickname   Password   Optional
Site URI   Email   [Register]