Random number generation and quasi-Monte Carlo methods
Random number generation and quasi-Monte Carlo methods
Quasi-Monte Carlo methods in numerical finance
Management Science
High-performance computing in finance: the last 10 years and the next
Parallel Computing - Special Anniversary issue
High-performance computing in finance: the last 10 years and the next
Parallel Computing - Special Anniversary issue
MPI-The Complete Reference, Volume 1: The MPI Core
MPI-The Complete Reference, Volume 1: The MPI Core
Numerical Recipes in C: The Art of Scientific Computing
Numerical Recipes in C: The Art of Scientific Computing
Parameterized Function Evaluation for FPGAs
FPL '01 Proceedings of the 11th International Conference on Field-Programmable Logic and Applications
Maxwell - a 64 FPGA Supercomputer
AHS '07 Proceedings of the Second NASA/ESA Conference on Adaptive Hardware and Systems
Map-reduce as a Programming Model for Custom Computing Machines
FCCM '08 Proceedings of the 2008 16th International Symposium on Field-Programmable Custom Computing Machines
Low discrepancy sequences for Monte Carlo simulations on reconfigurable platforms
ASAP '08 Proceedings of the 2008 International Conference on Application-Specific Systems, Architectures and Processors
IEEE Transactions on Very Large Scale Integration (VLSI) Systems
Programming framework for clusters with heterogeneous accelerators
ACM SIGARCH Computer Architecture News
VirtualRC: a virtual FPGA platform for applications and tools portability
Proceedings of the ACM/SIGDA international symposium on Field Programmable Gate Arrays
The "Chimera": an off-the-shelf CPU/GPGPU/FPGA hybrid computing platform
International Journal of Reconfigurable Computing - Special issue on High-Performance Reconfigurable Computing
Heterogeneous COS pricing of rainbow options
WHPCF '13 Proceedings of the 6th Workshop on High Performance Computational Finance
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Quasi-Monte Carlo simulation is a special Monte Carlo simulation method that uses quasi-random or low-discrepancy numbers as random sample sets. In many applications, this method has proved advantageous compared to the traditional Monte Carlo simulation method, which uses pseudo-random numbers, thanks to its faster convergence and higher level of accuracy. This article presents the design and implementation of a massively parallelized Quasi-Monte Carlo simulation engine on an FPGA-based supercomputer, called Maxwell. It also compares this implementation with equivalent graphics processing units (GPUs) and general purpose processors (GPP)-based implementations. The detailed comparison between these three implementations (FPGA vs. GPP vs. GPU) is done in the context of financial derivatives pricing based on our Quasi-Monte Carlo simulation engine. Real hardware implementations on the Maxwell machine show that FPGAs outperform equivalent GPP-based software implementations by 2 orders of magnitude, with the speed-up figure scaling linearly with the number of processing nodes used (FPGAs/GPPs). The same implementations show that FPGAs achieve a ~ 3x speedup compared to equivalent GPU-based implementations. Power consumption measurements also show FPGAs to be 336x more energy efficient than CPUs, and 16x more energy efficient than GPUs.