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Case Study: Computing Black-Scholes with Intel® Advanced Vector Extensions

This case study discusses Intel® Advanced Vector Extensions (Intel® AVX) and gives an overview of the Black-Scholes valuation.
Authored by shuo-li (Intel) Last updated on 11/30/2016 - 19:41
Article

Intel® HPC Developer Conference 2016 - Session Presentations

The 2016 Intel® HPC Developer Conference brought together developers from around the world to discuss code modernization in high-performance computing.

Authored by Mike P. (Intel) Last updated on 11/23/2016 - 11:15
Blog post

Intel SOA "Soft" Appliance in Financial Services

"Time is money".  That old saying is as relevant as ever in the modern financial service markets.  Complex, real-time, and algorithmic trading are constantly pushing the envelope of that phase. 

Authored by Last updated on 11/15/2016 - 17:18
Article

Optimize Financial Applications using Intel® Math Kernel Library

Intel® Math Kernel Library (Intel® MKL) contains a wealth of highly optimized math functions that are fundamental to a wide variety of Financial Applications.

Authored by Zhang Z. (Intel) Last updated on 11/15/2016 - 17:18
Blog post

Celebrating a Decade of Parallel Programming with Intel® Threading Building Blocks (Intel®TBB)

This year marks the tenth anniversary of Intel® Threading Building Blocks (Intel® TBB).

Authored by Sharmila C. (Intel) Last updated on 11/15/2016 - 14:18
Article

借助 SIMD 数据布局模板优化数据布局

Financial service customers need to improve financial algorithmic performance for models such as Monte Carlo, Black-Scholes, and others. SIMD programming can speed up these workloads. In this paper, we perform data layout optimizations using two approaches on a Black-Scholes workload for European options valuation from the open source Quantlib library.
Authored by Nimisha R. (Intel) Last updated on 11/08/2016 - 00:44
Article

Monte-Carlo simulation on Asian Options Pricing

This is an exercise in performance optimization on heterogeneous Intel architecture systems based on multi-core processors and manycore (MIC) coprocessors.
Authored by Mike P. (Intel) Last updated on 10/27/2016 - 13:03
Article

Monte Carlo European Option with Pre-generated Random Numbers for Intel® Xeon Phi™ Coprocessor

Download Available under the Intel Sample Sourc

Authored by shuo-li (Intel) Last updated on 10/07/2016 - 07:54
Blog post

Параллельное программирование с помощью вычислительного графа

Есть приложения, которые хорошо реализуются как системы передачи сообщений.

Authored by Kirill R. (Intel) Last updated on 09/28/2016 - 15:57
Article

Data Layout Optimization Using SIMD Data Layout Templates

Financial service customers need to improve financial algorithmic performance for models such as Monte Carlo, Black-Scholes, and others. SIMD programming can speed up these workloads. In this paper, we perform data layout optimizations using two approaches on a Black-Scholes workload for European options valuation from the open source Quantlib library.
Authored by Nimisha R. (Intel) Last updated on 09/20/2016 - 11:10
For more complete information about compiler optimizations, see our Optimization Notice.