Sampling from the Multivariate Gaussian Distribution using Reconfigurable Hardware
FCCM '07 Proceedings of the 15th Annual IEEE Symposium on Field-Programmable Custom Computing Machines
Exploring Reconfigurable Architectures for Binomial-Tree Pricing Models
ARC '08 Proceedings of the 4th international workshop on Reconfigurable Computing: Architectures, Tools and Applications
Credit Risk Modelling using Hardware Accelerated Monte-Carlo Simulation
FCCM '08 Proceedings of the 2008 16th International Symposium on Field-Programmable Custom Computing Machines
Accelerating Quadrature Methods for Option Valuation
FCCM '09 Proceedings of the 2009 17th IEEE Symposium on Field Programmable Custom Computing Machines
A mixed precision Monte Carlo methodology for reconfigurable accelerator systems
Proceedings of the ACM/SIGDA international symposium on Field Programmable Gate Arrays
FPGA acceleration using high-level languages of a Monte-Carlo method for pricing complex options
Journal of Systems Architecture: the EUROMICRO Journal
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Arithmetic Asian options are financial derivatives which have the feature of path-dependency: they depend on the entire price path of the underlying asset, rather than just the instantaneous price. This path-dependency makes them difficult to price, as only computationally intensive Monte-Carlo methods can provide accurate prices. This paper proposes an FPGA-accelerated Asian option pricing solution, using a highly-optimised parallel Monte-Carlo architecture. The proposed pipelined design is described parametrically, facilitating its re-use for different technologies. An implementation of this architecture in a Virtex-5 xc5vlx330t FPGA at 200MHz is 313 times faster than a multi-threaded software implementation running on a Intel Xeon E5420 quad-core CPU at 2.5GHz; it is also 2.2 times faster than the Tesla C1060 GPU at 1.3 GHz.