Reconfigurable acceleration for Monte Carlo based financial simulation

Research output: Chapters, Conference Papers, Creative and Literary Works (RGC: 12, 32, 41, 45)32_Refereed conference paper (with ISBN/ISSN)peer-review

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Author(s)

  • P. H W Leong
  • C. H. Ho
  • K. H. Tsoi
  • Dong-U Lee
  • C. C C Cheung
  • W. Luk

Detail(s)

Original languageEnglish
Title of host publicationProceedings - 2005 IEEE International Conference on Field Programmable Technology
Pages215-222
Volume2005
Publication statusPublished - 2005
Externally publishedYes

Publication series

Name
Volume2005

Conference

Title2005 IEEE International Conference on Field Programmable Technology
PlaceSingapore
Period11 - 14 December 2005

Abstract

This paper describes a novel hardware accelerator for Monte Carlo (MC) simulation, and illustrates its implementation in field programmable gate array (FPGA) technology for speeding up financial applications. Our accelerator is based on a generic architecture, which combines speed and flexibility by integrating a pipelined MC core with an on-chip instruction processor. We develop a generic number system representation for determining the choice of number representation that meets numerical precision requirements. Our approach is then used in a complex financial engineering application, involving the Brace, Ga̧tarek and Musiela (BGM) interest rate model for pricing derivatives. We address, in our BGM model, several challenges including the generation of Gaussian distributed random numbers and pipelining of the MC simulation. Our BGM application, based on an off-the-shelf system with a Xilinx XC2VP30 device at 50 MHz, is over 25 times faster than software running on a 1.5 GHz Intel Pentium machine. © 2005 IEEE.

Citation Format(s)

Reconfigurable acceleration for Monte Carlo based financial simulation. / Zhang, G. L.; Leong, P. H W; Ho, C. H.; Tsoi, K. H.; Lee, Dong-U; Cheung, C. C C; Cheung, R. C C; Luk, W.

Proceedings - 2005 IEEE International Conference on Field Programmable Technology. Vol. 2005 2005. p. 215-222 1568549.

Research output: Chapters, Conference Papers, Creative and Literary Works (RGC: 12, 32, 41, 45)32_Refereed conference paper (with ISBN/ISSN)peer-review