High Performance Computing

Making quantitative models fast enough to use: GPU Monte Carlo and exotic pricing, parallel PDE solvers, vectorised C++, and risk and backtest workloads spread across many cores.

Focus

GPU and CUDA pricing (Monte Carlo, exotics)
Parallel PDE solvers (ADI, sparse linear algebra)
Low-latency and vectorised C++
Distributed risk and backtesting at scale

Publications & tools

Coming soon. Write-ups, notebooks, and tools from this research line will be published here.

Learn the groundwork

C++ & HPC for Quants→Guest lectures (CUDA for Exotic Options, Parallel Numerical Methods)→