TensorFlow makes it particularly easy to implement simple Monte-Carlo simulations on GPU. To be followed.
Monte-Carlo on GPU with TensorFlow
Published by Antoine Savine
Antoine Savine is a French mathematician, academic and a leading derivatives research professional with Danske Bank in Copenhagen. Antoine also teaches Volatility and Computational Finance at Copenhagen University. He is the author of Modern Computational Finance with John Wiley and Sons. Antoine holds a PhD in Mathematics, and is best known for his work on volatility and interest rate models. He was influential in the development of cashflow scripting, the application of generalized derivatives to volatility, and the wide adoption of AAD in financial systems. View all posts by Antoine Savine