Intel® Math Kernel Library (Intel® MKL) contains a wealth of highly optimized math functions that are fundamental to a wide variety of Financial Applications.
(This work was done by Vivek Lingegowda during his internship at Intel.)
An old Jewish fable tells about a poor man asking for advice from the rabbi. The family is large, the house is small, and it feels very crowded.
Analysis and Optimization of Financial Analytics Benchmark on Modern Multi- and Many-core IA-Based Architectures
By Mikhail Smelyanskiy, Jason Sewall, Dhiraj D.
Case Study: Achieving High Performance on Monte Carlo European Option Using Stepwise Optimization FrameworkRead this case study that discusses the Monte Carlo method of statistical computing to solve complex scientific computing problems.