This is an exercise in performance optimization on heterogeneous Intel architecture systems based on multi-core processors and manycore (MIC) coprocessors.
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.
Financial derivative pricing is a cornerstone of quantitative finance. The most common form of financial derivatives is common stock options, which are contracts between two parties regarding buying or selling an asset (specifically shares of stock) at a certain time at an agreed price.
This article covers the Monte Carlo Methods using a simple quasi random number generator.
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