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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 08/23/2016 - 11:15
Article

Recipe: Monte Carlo European Option Pricing for Intel® Xeon Phi® Processor

This article covers the Monte Carlo Methods using a simple quasi random number generator.
Authored by admin Last updated on 08/17/2016 - 14:39
Article

Case Study: Achieving High Performance on Monte Carlo European Option Using Stepwise Optimization Framework

Read this case study that discusses the Monte Carlo method of statistical computing to solve complex scientific computing problems.
Authored by shuo-li (Intel) Last updated on 08/17/2016 - 14:39
Article

案例研究: 使用分布式优化框架在 Monte Carlo 欧式期权方面实现高级性能

1. 简介

Monte Carlo 使用统计计算方法解决复杂的科学计算问题。 它创新地使用随机数字模拟一个问题输入结果的不确定性,并通过处理重复的参数抽样获得一个确定的结果和解决一些以其他方式无法解决的问题。 该方法最早起源于上世纪 40 年代末,由参与“曼哈顿”计划的核物理学家们率先提出。 并采用摩纳哥最大的赌城 Monte Carlo 来命名。

Authored by shuo-li (Intel) Last updated on 08/17/2016 - 14:39
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 08/17/2016 - 14:39
Article

Monte Carlo European Option Pricing with RNG Interface for Intel® Xeon Phi™ Coprocessor

Download Available under the Intel Sample Sourc

Authored by shuo-li (Intel) Last updated on 08/17/2016 - 14:39
Article

Non-Obvious Implementation Choices for the Monte Carlo Simulation

This article was written for the Monte Carlo Simulation of European Swaptions sample
Authored by THURSTON S. (Intel) Last updated on 08/17/2016 - 14:39
Article

Intel® Cilk™ Plus – Monte Carlo Sample

Sample code for the Intel Cilk Plus Monte Carlo Sample.
Authored by jhwolf (Intel) Last updated on 08/17/2016 - 14:39
Article

Monte Carlo Method for Stock Options Pricing Sample

Download for Windows*

Authored by Vadim Kartoshkin (Intel) Last updated on 08/17/2016 - 14:39
Article

Making the Monte Carlo Approach Even Easier and Faster

Introduction
Authored by Andrey Naraikin (Intel) Last updated on 08/17/2016 - 14:39
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