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High-performance financial simulation using randomized quasi-Monte Carlo methods

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  • Linlin Xu
  • Giray Ökten

Abstract

Graphics Processing Unit (GPU) computing has become popular in computational finance, and many financial institutions are moving their CPU-based applications to the GPU platform. Since most Monte Carlo algorithms are embarrassingly parallel, they benefit greatly from parallel implementations, and consequently Monte Carlo has become a focal point in GPU computing. GPU speed-up examples reported in the literature often involve Monte Carlo algorithms, and there are software tools commercially available that help migrate Monte Carlo financial pricing models to GPU. We present a survey of Monte Carlo and randomized quasi-Monte Carlo methods, and discuss existing (quasi) Monte Carlo sequences in GPU libraries. We discuss specific features of GPU architecture relevant for developing efficient (quasi) Monte Carlo methods. We introduce a recent randomized quasi-Monte Carlo method, and compare it with some of the existing implementations on GPU, when they are used in pricing caplets in the LIBOR market model and mortgage-backed securities.

Suggested Citation

  • Linlin Xu & Giray Ökten, 2015. "High-performance financial simulation using randomized quasi-Monte Carlo methods," Quantitative Finance, Taylor & Francis Journals, vol. 15(8), pages 1425-1436, August.
    • Handle: RePEc:taf:quantf:v:15:y:2015:i:8:p:1425-1436
    DOI: 10.1080/14697688.2015.1032549
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    References listed on IDEAS

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    4. David Heath & Robert Jarrow & Andrew Morton, 2008. "Bond Pricing And The Term Structure Of Interest Rates: A New Methodology For Contingent Claims Valuation," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 13, pages 277-305, World Scientific Publishing Co. Pte. Ltd..
    5. Miltersen, Kristian R & Sandmann, Klaus & Sondermann, Dieter, 1997. "Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates," Journal of Finance, American Finance Association, vol. 52(1), pages 409-430, March.
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    Cited by:

    1. Ökten, Giray & Liu, Yaning, 2021. "Randomized quasi-Monte Carlo methods in global sensitivity analysis," Reliability Engineering and System Safety, Elsevier, vol. 210(C).
    2. Yu-Ying Tzeng & Paul M. Beaumont & Giray Ökten, 2018. "Time Series Simulation with Randomized Quasi-Monte Carlo Methods: An Application to Value at Risk and Expected Shortfall," Computational Economics, Springer;Society for Computational Economics, vol. 52(1), pages 55-77, June.

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