{"id":26903494,"url":"https://github.com/aurelienperez/gpu-heston-monte-carlo","last_synced_at":"2025-04-01T10:28:42.060Z","repository":{"id":285455022,"uuid":"958197940","full_name":"aurelienperez/gpu-heston-monte-carlo","owner":"aurelienperez","description":"GPU-accelerated Monte Carlo simulation for option pricing under the Heston model using CUDA.","archived":false,"fork":false,"pushed_at":"2025-03-31T20:11:15.000Z","size":1139,"stargazers_count":0,"open_issues_count":0,"forks_count":0,"subscribers_count":1,"default_branch":"main","last_synced_at":"2025-03-31T21:22:10.679Z","etag":null,"topics":["cuda","gpu","heston-model"],"latest_commit_sha":null,"homepage":"","language":"Cuda","has_issues":true,"has_wiki":null,"has_pages":null,"mirror_url":null,"source_name":null,"license":"mit","status":null,"scm":"git","pull_requests_enabled":true,"icon_url":"https://github.com/aurelienperez.png","metadata":{"files":{"readme":"README.md","changelog":null,"contributing":null,"funding":null,"license":"LICENSE","code_of_conduct":null,"threat_model":null,"audit":null,"citation":null,"codeowners":null,"security":null,"support":null,"governance":null,"roadmap":null,"authors":null,"dei":null,"publiccode":null,"codemeta":null}},"created_at":"2025-03-31T19:59:37.000Z","updated_at":"2025-03-31T20:12:53.000Z","dependencies_parsed_at":"2025-03-31T21:32:18.109Z","dependency_job_id":null,"html_url":"https://github.com/aurelienperez/gpu-heston-monte-carlo","commit_stats":null,"previous_names":["aurelienperez/gpu-heston-monte-carlo"],"tags_count":0,"template":false,"template_full_name":null,"repository_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/aurelienperez%2Fgpu-heston-monte-carlo","tags_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/aurelienperez%2Fgpu-heston-monte-carlo/tags","releases_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/aurelienperez%2Fgpu-heston-monte-carlo/releases","manifests_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/aurelienperez%2Fgpu-heston-monte-carlo/manifests","owner_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners/aurelienperez","download_url":"https://codeload.github.com/aurelienperez/gpu-heston-monte-carlo/tar.gz/refs/heads/main","host":{"name":"GitHub","url":"https://github.com","kind":"github","repositories_count":246623055,"owners_count":20807248,"icon_url":"https://github.com/github.png","version":null,"created_at":"2022-05-30T11:31:42.601Z","updated_at":"2022-07-04T15:15:14.044Z","host_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub","repositories_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories","repository_names_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repository_names","owners_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners"}},"keywords":["cuda","gpu","heston-model"],"created_at":"2025-04-01T10:28:41.522Z","updated_at":"2025-04-01T10:28:42.052Z","avatar_url":"https://github.com/aurelienperez.png","language":"Cuda","funding_links":[],"categories":[],"sub_categories":[],"readme":"# GPU-Accelerated Monte Carlo Simulation of the Heston Model\n\nThis repository provides a GPU-accelerated implementation of Monte Carlo methods for pricing European options under the **Heston stochastic volatility model**, developed as part of the Master's course *\"Massive Parallel Programming on GPU Devices for Big Data\"* from the Probabilités et Finance Master's program at Sorbonne Université.\n\n## Project Overview\n\nThe project includes implementations of three discretisation schemes:\n\n- **Euler** scheme \n- **Exact scheme** (Broadie-Kaya)\n- **Almost Exact scheme** (Haastrecht-Pelsser)\n\nEach scheme leverages **CUDA** for high-performance parallel computations. Trajectories are simulated independently at thread-level, with efficient shared-memory reductions performed at the block level.\n\n## Repository Content\n`heston.cu`: CUDA source code for the simulation.\n\n`heston_gpu.pdf`: Project presentation slides.\n\n## Acknowledgements\n\nThis implementation was inspired by the CUDA examples and materials provided by **Lokman Abbas-Turki** as part of the course *\"Massive Parallel Programming on GPU Devices for Big Data\"*.\n","project_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Faurelienperez%2Fgpu-heston-monte-carlo","html_url":"https://awesome.ecosyste.ms/projects/github.com%2Faurelienperez%2Fgpu-heston-monte-carlo","lists_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Faurelienperez%2Fgpu-heston-monte-carlo/lists"}