Pricing Covered bonds on GPU technology.
Lead PI:Dr. Mike Peardon
Abstract:Currently involved in developing a mechanism for pricing covered bonds via analytic and Monte Carlo methods. This tool is being implemented on GPU technology within the CUDA framework. The pricing of covered bonds is computationally intensive and requires large amounts of processing time. The CUDA implementation will allow for massively parallel computation which will significantly decrease processing time and bring improved accuracy. Further investigation into error bounds between single and double precision representations will also be undertaken.