ISTEP EMEA 2011–Technical Session: Updating a Case Study: Using Intel® Parallel Studio XE for the Black-Scholes Financial Service Application



Heinz Bast, Technical Consulting Engineer, Software Development Products, Intel Corporation

One of the case studies used to present the value of a well-designed threading and performance tuning methodology based on Intel® Software Development products has been the Black-Scholes calculation for determining the pricing of options. In this session, Heinz Bast will show an updated version of this case study—including a live demonstration—using Intel® Parallel Studio XE and including a new parallel programming approach based on Intel® Cilk™ Plus. He will demonstrate how the performance is increased considerably step by step using the following: Intel® Compiler; the best possible vectorization, including the now supported C/C++ language extensions and directives; calls into Intel® Math Kernel Library (Intel® MKL); and eventually threading via Cilk thread parallelism. Bast will also demonstrate how Intel® VTune™ Amplifier XE supports these tuning efforts both for single-core performance and thread profiling.

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