Exploring financial applications on many-core-on-a-chip architecture: a first experiment

Authors:
Weirong Zhu;Parimala Thulasiraman;Ruppa K. Thulasiram;Guang R. Gao
Affiliations:
Department of Electrical and Computer Engineering, University of Delaware, Newark, DE;Department of Computer Science, University of Manitoba Winnipeg, MB, Canada;Department of Computer Science, University of Manitoba Winnipeg, MB, Canada;Department of Electrical and Computer Engineering, University of Delaware, Newark, DE
Venue:
ISPA'06 Proceedings of the 2006 international conference on Frontiers of High Performance Computing and Networking
Year:
2006

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Abstract

Computational requirements for solving models of financial derivatives, for example, the option pricing problems, are huge and demand efficient algorithms and high performance computing capabilities. This demand has been rekindled by the recent developments in the mobile technology making wireless trading a possibility. In this paper, we focus on the development of a Monte-Carlo algorithm on a modern multi-core chip architecture, Cyclops-64 (C64) under development at IBM as the experimental platform for our study in pricing options. The timing results on C64 show that various sets of simulations could be done in a real-time fashion while yielding high performance/price improvement over traditional microprocessors for finance applications.