Name
Abstract | ||
|---|---|---|
We present a domain specific language embedded in Haskell for specifying stochastic processes, called SPL;. It is designed with the goal of matching the notation used in mathematical finance, where the price of a financial contract is specified using stochastic processes and distributions. SPL; is declarative in the sense that it is agnostic of the choice of discretization and of the computational model. We provide an implementation of SPL; that performs Monte Carlo simulation using GPGPU, and we present data indicating that this gives a 100x speedup compared to hand-written sequential C, and that the speedup scales linearly with the number of available cores. |
Year | DOI | Venue |
|---|---|---|
2012 | 10.1145/2364474.2364488 | FHPC@ICFP |
Field | DocType | Citations |
Domain-specific language,Discretization,Monte Carlo method,Mathematical finance,Computer science,Parallel computing,Stochastic process,Theoretical computer science,Code generation,Haskell,Speedup | Conference | 3 |
PageRank | References | Authors |
0.40 | 4 | 3 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Michael Flænø Werk | 1 | 3 | 0.40 |
| Joakim Ahnfelt-Rønne | 2 | 3 | 0.40 |
| Ken Friis Larsen | 3 | 53 | 5.14 |