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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 09/20/2016 - 11:10
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 09/08/2016 - 13:52
Article

Binomial Options Pricing Model Code for Intel® Xeon Phi™ Coprocessor

Introduction
Authored by shuo-li (Intel) Last updated on 09/08/2016 - 13:38
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 09/07/2016 - 12:59
Article

Making the Monte Carlo Approach Even Easier and Faster

Introduction
Authored by Andrey Naraikin (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

Intel® Cilk™ Plus - Black-Scholes Sample

The black-schole sample application to the Intel® Cilk™ Plus – The Simplest Path to Parallelism how-to guide
Authored by jhwolf (Intel) Last updated on 08/17/2016 - 14:39
Article

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 08/17/2016 - 14:39
Article
Article

借助英特尔® 至强融核™ 协处理器实现卓越的 Black-Scholes 定价计算性能

1. 简介

英特尔在德国汉堡举行的国际超级计算机大会 (ISC'12) 上宣布,英特尔® 至强融核™ 将是未来所有基于英特尔® 集成众核架构(英特尔® MIC 架构)的产品的全新品牌名称。定位于超级计算机的英特尔® 至强融核™ 协处理器将拥有高达 61 个内核,可在执行复杂科学计算的过程中提供极具突破性的能耗和显著的性能提升。

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