The high-performance parallel processors in video accelerators, GPUs, can be used as numerical co-processors in a variety of applications. The RapidMind Development Platform is a software development system that allows the developer to use standard C++ programming to easily create high-performance and massively parallel applications that run on the GPU. Using the RapidMind platform, we compare the performance of FFT, BLAS dense matrix multiplication, and quasi-Monte Carlo option pricing benchmarks on the GPU against highly tuned CPU implementations. The advantages and limitations of GPU acceleration are discussed as well as techniques for optimizing performance.