FE529 GPU Computing in Finance
Course Catalog Description
Introduction
Campus | Fall | Spring | Summer |
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On Campus | X | ||
Web Campus |
Instructors
Professor | Office | |
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More Information
Course Description
Parallel programming using GPU’s is a relatively new area for multithreaded programming. It requires a certain amount of extra knowledge even for the most accomplished programmers. The objective of the course is to provide this extra for our students. Our students will be very well prepared for their future programming and software developing jobs by completing this course. This course is the first of a sequence of advanced programming courses that at the moment do not exist in any financial program at any US institution. This sequence of courses (if realized) in 5 years will make Stevens the top US institution for financial programming. It is easy to see then that the students completing this course will gain unique skills that will put them on top of other graduates.
Course Outcome
After completing the course, students will be able to:
- Gain basic knowledge of parallel programming;
- Understand the memory management and data transfer methodology in CUDA
- Program simple financial models using CUDA platform.
Course Resources
Textbook
Sanders, Jason, and Edward Kandrot. CUDA by example: an introduction to general-purpose GPU programming. Addison-Wesley Professional, 2010. https://developer.nvidia.com/cuda-example
Additional References
Grading
Grading Policies
- 40% Homework
- 20% Classwork
- 40% Projects
Lecture Outline
Topic | Reading | |
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Week 1 | Introduction to Financial Engineering | Ch. 1 and 2 |
Week 2 | Capital Markets Overview | Chapter 3 |
Week 3 | Corporate Finance & Valuation | Chapter 3 |
Week 4 | Equity Analysis | Chapter 4 |
Week 5 | Fixed Income Debt Securities | Chapter 4 |
Week 6 | Overview of Bonds Sectors & Instruments | Chapter 4 |
Week 7 | Valuation of Debt Securities | Chapter 4 |
Week 8 | Securitized Products | |
Week 9 | Leveraged Loans & CLO's | Chapter 5 |
Week 10 | General Principles of Credit Analysis | Chapter 5 |
Week 11 | Foreign Exchange | Chapter 6 |
Week 12 | Poisson Processes and Jump Diffusion | Chapter 11 |
Week 13 | Exotic Options | Chapter 7 |
Week 14 | Review & Catch-up |