FPGA acceleration of CDO pricing based on correlation expansions

Authors:
Zheng Zhi Shun;Tsutomu Maruyama
Affiliations:
University of Tsukuba, Tsukuba, Japan;University of Tsukuba, Tsukuba, Japan
Venue:
ACM SIGARCH Computer Architecture News - ACM SIGARCH Computer Architecture News/HEART '12
Year:
2012

Citing 2
Cited 0

Acceleration of an analytical approach to collateralized debt obligation pricing

Proceedings of the 18th annual ACM/SIGDA international symposium on Field programmable gate arrays
FPGA Acceleration of MultiFactor CDO Pricing

ACM Transactions on Reconfigurable Technology and Systems (TRETS)

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Abstract

Because of the significant growth in the financial market, faster and accurate pricing of widespread instruments is becoming more important. In this paper, we describe an FPGA implementation of an analytical method for collateralized debt obligation (CDO) pricing in the multifactor Normal Copula model. Our experiments show that the FPGA system is about 40 times faster than corresponding software on a single core 3 GHz Intel Core2 processor.