Abstract

In this paper, we report three applications of Graphics Processing Unit (GPU) based algorithms for high performance computation of mathematical models with the Fron Tier++ code. In the first set of simulations, the system of one-dimensional gas dynamics equations is solved by the Weighed Essentially Non-Oscillatory (WENO) scheme, we achieved 7-20 times speedup for different mesh sizes on one GPU device. In the second case, the spring model for fabric dynamics is studied, the GPU code is about 10-20 times faster than the pure CPU code for different mesh sizes. In the last case, a GPU enhanced numerical algorithm for American option pricing under the generalized hyperbolic distribution is studied. Using one GPU device, we have achieved 2 times speedup for the price of single option and 100 times speedup for multiple options.

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