An embedded DSL for stochastic processes: research article

Authors:
Michael Flænø Werk;Joakim Ahnfelt-Rønne;Ken Friis Larsen
Affiliations:
University of Copenhagen, Copenhagen, Denmark;University of Copenhagen, Copenhagen, Denmark;University of Copenhagen, Copenhagen, Denmark
Venue:
Proceedings of the 1st ACM SIGPLAN workshop on Functional high-performance computing
Year:
2012

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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.