Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: GPGPUs in computational finance: Massive parallel computing for American
  style options   The pricing of American style and multiple exercise options is a very
challenging problem in mathematical finance. One usually employs a Least-Square
Monte Carlo approach (Longstaff-Schwartz method) for the evaluation of
conditional expectations which arise in the Backward Dynamic Programming
principle for such optimal stopping or stochastic control problems in a
Markovian framework. Unfortunately, these Least-Square Monte Carlo approaches
are rather slow and allow, due to the dependency structure in the Backward
Dynamic Programming principle, no parallel implementation; whether on the Monte
Carlo levelnor on the time layer level of this problem. We therefore present in
this paper a quantization method for the computation of the conditional
expectations, that allows a straightforward parallelization on the Monte Carlo
level. Moreover, we are able to develop for AR(1)-processes a further
parallelization in the time domain, which makes use of faster memory structures
and therefore maximizes parallel execution. Finally, we present numerical
results for a CUDA implementation of this methods. It will turn out that such
an implementation leads to an impressive speed-up compared to a serial CPU
implementation.

16
The categories of this paper are: stat
29
The categories of this paper are: funct-an
13
The categories of this paper are: quant-ph
32
The categories of this paper are: atom-ph
11
The categories of this paper are: hep-lat
12
The categories of this paper are: nucl-th
14
The categories of this paper are: math-ph
8
The categories of this paper are: hep-ex
23
The categories of this paper are: solv-int
3
The categories of this paper are: physics
15
The categories of this paper are: nucl-ex
4
The categories of this paper are: cond-mat
20
The categories of this paper are: acc-phys
6
The categories of this paper are: astro-ph
24
The categories of this paper are: dg-ga
19
The categories of this paper are: eess