Accelerating Financial Applications on Intel® architecture

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Abstract:
 

A paper titled Accelerating Financial Applications on the GPU compared GPU vs. CPU performance using four QuantLib library financial workloads. The paper reported significant GPU performance speedup; as high as 1,000X for a Monte-Carlo* workload running a single thread. Upon closer inspection we found that the parallelization approach was not sufficient to properly utilize all of the parallel resources available on the CPU. We decided to conduct an in-depth performance analysis by optimizing the original CPU code and re-running the tests on the latest available GPU/CPU hardware. The results are significantly different than what was reported in the paper and in some cases the CPU actually outperforms the GPU.