Energy efficient acceleration and evaluation of financial computations towards real-time pricing

Authors:
Christian de Schryver;Matthias Jung;Norbert Wehn;Henning Marxen;Anton Kostiuk;Ralf Korn
Affiliations:
Departments of Electrical Engineering, University of Kaiserslautern, Kaiserslautern, Germany;Departments of Electrical Engineering, University of Kaiserslautern, Kaiserslautern, Germany;Departments of Electrical Engineering, University of Kaiserslautern, Kaiserslautern, Germany;Departments of Mathematics, University of Kaiserslautern, Kaiserslautern, Germany;Departments of Mathematics, University of Kaiserslautern, Kaiserslautern, Germany;Departments of Mathematics, University of Kaiserslautern, Kaiserslautern, Germany
Venue:
KES'11 Proceedings of the 15th international conference on Knowledge-based and intelligent information and engineering systems - Volume Part IV
Year:
2011

Citing 3
Cited 1

Credit Risk Modelling using Hardware Accelerated Monte-Carlo Simulation

FCCM '08 Proceedings of the 2008 16th International Symposium on Field-Programmable Custom Computing Machines
Multilevel Monte Carlo Path Simulation

Operations Research
A New Hardware Efficient Inversion Based Random Number Generator for Non-uniform Distributions

RECONFIG '10 Proceedings of the 2010 International Conference on Reconfigurable Computing and FPGAs

Algorithmic complexity in the heston model: an implementation view

Proceedings of the fourth workshop on High performance computational finance

Quantified Score

Hi-index	0.00

Visualization

Abstract

Modern financial markets are as vivid as never before. Asset prices - and therefore the prices of all related financial products - change within several milliseconds nowadays. However, not only due to the financial crisis in 2008, calculating fair and meaningful prices for these products is much more important than in the past. In order to obtain reliable prices, sophisticated simulation models have to be used. Pricing in these models in general has a very high computational complexity and can in many cases only be approximately done by using numerical methods. On the other hand, we all know that energy costs will become more and more significant in the future. The gap between the increasing computational complexity and the consumed energy can only be bridged by using more tailored computation engines, like dedicated hardware accelerators or application specific instruction set processors (ASIPs). In this paper we present a comprehensive methodology for the efficient design of optimal hardware accelerators and the evaluation thereof. We give two case studies: a new hardware random number generator for arbitrary distributions and a dedicated hardware accelerator for calculating European barrier option prices.