The Journal of Supercomputing

, Volume 71, Issue 2, pp 729–739 | Cite as

Financial applications on multi-CPU and multi-GPU architectures

  • Emilio Castillo
  • Cristóbal Camarero
  • Ana Borrego
  • Jose Luis Bosque


The use of high-performance computing systems to help to make the right investment decisions in financial markets is an open research field where multiple efforts have being carried out during the past few years. Specifically, the Heath–Jarrow–Morton (HJM) model has a number of features that make it well suited for implementation on massively parallel architectures. This paper presents a multi-CPU and multi-GPU implementation of the HJM model that improves both the performance and energy efficiency. The experimental results reveal that the proposed architectures achieve excellent performance improvements, as well as optimize the energy efficiency and the cost/performance ratio.


Heterogeneous computing Multi-GPU Financial applications 



The authors would like to express their gratitude to François Friggit of Banco Santander who inspired and motivated this challenge as a real business case and provided all necessary assistance to carry out this work. This work has been supported by the Spanish Science and Technology Commission (CICYT) under contract TIN2010-21291-C02-02, the European Unions FP7 under Agreements ERC-321253 (RoMoL) and ICT-288777 (Mont-Blanc) and by the European HiPEAC Network of Excellence.


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Copyright information

© Springer Science+Business Media New York 2014

Authors and Affiliations

  • Emilio Castillo
    • 1
  • Cristóbal Camarero
    • 1
  • Ana Borrego
    • 2
  • Jose Luis Bosque
    • 1
  1. 1.Department of Computer Science and ElectronicsUniversidad de CantabriaSantanderSpain
  2. 2.Technology DivisionGrupo Santander, ProdubanMadridSpain

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