A hardware generator of multi-point distributed random numbers for Monte Carlo simulation

Authors:
Nicola Bruti-Liberati;Filippo Martini;Massimo Piccardi;Eckhard Platen
Affiliations:
School of Finance & Economics and Department of Mathematical Sciences, University of Technology, Sydney, P.O. Box 123, Broadway, NSW 2007, Australia;Faculty of Information Technology, University of Technology, Sydney, P.O. Box 123, Broadway, NSW 2007, Australia;Faculty of Information Technology, University of Technology, Sydney, P.O. Box 123, Broadway, NSW 2007, Australia;School of Finance & Economics and Department of Mathematical Sciences, University of Technology, Sydney, P.O. Box 123, Broadway, NSW 2007, Australia
Venue:
Mathematics and Computers in Simulation
Year:
2008

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Abstract

Monte Carlo simulation of weak approximations of stochastic differential equations constitutes an intensive computational task. In applications such as finance, for instance, to achieve ''real time'' execution, as often required, one needs highly efficient implementations of the multi-point distributed random number generator underlying the simulations. In this paper, a fast and flexible dedicated hardware solution on a field programmable gate array is presented. A comparative performance analysis between a software-only and the proposed hardware solution demonstrates that the hardware solution is bottleneck-free, retains the flexibility of the software solution and significantly increases the computational efficiency. Moreover, simulations in applications such as economics, insurance, physics, population dynamics, epidemiology, structural mechanics, chemistry and biotechnology can benefit from the obtained speedups.