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FiNS: A Framework for Accelerating Nested Simulations on Heterogeneous Platforms

  • Joris Cramwinckel
  • Stefan Singor
  • Ana Lucia Varbanescu
Conference paper
Part of the Lecture Notes in Computer Science book series (LNCS, volume 9523)

Abstract

Insurers use advanced risk management models to, among other things, compute required capital for different sources of financial risks. In these models the application of nested simulations becomes increasingly important. To keep computation times within acceptable limits high-performance computing is required. In this work we present a framework designed to significantly improve the performance of nested simulations by using heterogeneous computing. Specifically, we use modern features from CUDA - streams, Hyper-Q, and Multi-Process Service - to take full advantage of the massive parallelism of modern GPUs. We manage to reduce the execution time of such simulations from several hours to tens of minutes.

Keywords

CPU-GPU heterogeneous computing Asset & Liability Management Nested simulations CUDA Streams CUDA Hyper-Q 

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Copyright information

© Springer International Publishing Switzerland 2015

Authors and Affiliations

  • Joris Cramwinckel
    • 1
  • Stefan Singor
    • 1
    • 2
  • Ana Lucia Varbanescu
    • 3
  1. 1.Ortec FinanceRotterdamThe Netherlands
  2. 2.Delft University of TechnologyDelftThe Netherlands
  3. 3.University of AmsterdamAmsterdamThe Netherlands

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