Port a CPU Monte-Carlo Simulator to GPU for an Energy Trader
Overview
What this challenge is about.
Port a CPU Monte-Carlo simulator to CUDA on an H100, validate PnL and Greeks, then deliver a Dockerfile and Nsight reports for your verifiable certificate.
The scenario
The energy trader (intra-day spread-option strategies, 5-person quant-tech team) cannot run intra-day reval at 110 minutes per pass; this port is the unblocker.
The Brief
What you'll do, and what you'll demonstrate.
Port a Monte-Carlo simulator to CUDA, hit >=70 percent peak FP32 throughput on an H100, and validate PnL + Greeks within 1e-4 vs. the CPU baseline.
Earning criteria — what you'll demonstrate
- Port Monte-Carlo kernels to CUDA with warp-level reductions
- Tune occupancy and register usage on an H100
- Validate financial-math equivalence with Greeks, not just PnL
- Package CUDA workloads for deployment to a shared GPU cluster
Program Fit
Where this fits in your program.
Sharpens the same skills your degree expects you to demonstrate.
Advanced Concurrency and Parallel Computing
Master · Systems
Strong alignment
This challenge maps to Advanced Concurrency and Parallel Computing at the Master level. It sharpens the same practical skills your coursework expects — but in a real industry context with actual constraints and deliverables.
Skills
Skills you'll demonstrate.
Each one shows up on your verified credential.
- Gpu Programming
Apply gpu programming to solve real industry problems and demonstrate production-level capability.
- Cuda
Apply cuda to solve real industry problems and demonstrate production-level capability.
- Monte Carlo
Apply monte carlo to solve real industry problems and demonstrate production-level capability.
- Parallelism
Apply parallelism to solve real industry problems and demonstrate production-level capability.
- Cpp
Apply cpp to solve real industry problems and demonstrate production-level capability.
- Benchmarking
Apply benchmarking to solve real industry problems and demonstrate production-level capability.
Careers
Career paths this challenge builds toward
Completing this challenge demonstrates skills that transfer directly to these roles: