F# [on GPUs] for Quant Finance

This entry was posted in Uncategorized and tagged Alea.cuBase, F# on July 14, 2016 by dani

Talk at Swiss FinteCH Meetup July 14th 2016 I gave a talk at the Swiss FinteCH Meetup on open source technologies in fintech. The Swiss FinteCH Meetup group is a great and growing community interested in technology applied to financial problems. Thanks to Swati for organizing the event. Check out the slides for more information.

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Deficiencies of .NET CLR JIT Compilers

This entry was posted in Uncategorized and tagged Alea.cuBase, F# on July 8, 2016 by dani

Another Reason to Use a GPU! I recently gave a talk at an F# meetup hosted by Jet.com about deficiencies of .NET CLR JIT compilers. We know that often C# or F# does not perform at the level of native C++ because the CLR JIT compiler is not optimizing the code well enough. In worst cases we loose a […]

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GPU Computing on .NET at Speed of CUDA C++

This entry was posted in Uncategorized and tagged Alea.cuBase, F# on March 22, 2016 by dani

A Performance Comparison of Alea GPU C# and CUDA C++ In the last post we gave a sneak preview of the upcoming Alea GPU version 3. Alea GPU version 3 sets completely new standards for GPU development on .NET. The highlights of the new version are: Higher level abstractions such as GPU LINQ, a GPU […]

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“Auto-magic” GPU Programming

This entry was posted in Uncategorized and tagged Alea.cuBase, F# on March 9, 2016 by dani

We all agree, GPUs are not as easy to program as a CPU, even though CUDA and OpenCL provide a well established abstraction of the GPU processor design. GPU support in high-level programming languages such as Java, C# or Python still leaves a lot to be desired. Only developers familiar with C++ can directly access […]

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GPUs and Domain Specific Languages for Life Insurance Modeling

This entry was posted in Uncategorized and tagged Alea.cuBase, F# on March 5, 2016 by dani

The Solvency II EU Directive came into effect at the beginning of the year. It harmonizes insurance regulation in the EU with an economic and risk based approach, which considers the full balance sheet of insurers and re-insurers. In the case of life insurers and pension funds, this requires the calculation of the economic value […]

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