Hardware architectures for Monte-Carlo based financial simulations

被引：9

作者：

Thomas, David B. ^{[1
]}

Bower, Jacob A. ^{[1
]}

Luk, Wayne ^{[1
]}

机构：

[1] Univ London Imperial Coll Sci & Technol, Dept Comp, 180 Queens Gate, London, England

来源：

2006 IEEE INTERNATIONAL CONFERENCE ON FIELD PROGRAMMABLE TECHNOLOGY, PROCEEDINGS | 2006年

基金：

英国工程与自然科学研究理事会;

关键词：

D O I：

10.1109/FPT.2006.270352

中图分类号：

TP3 [计算技术、计算机技术];

学科分类号：

0812 ;

摘要：

This paper presents a methodology and the results of implementing Monte-Carlo financial simulations in reconfigurable devices. Five different Monte-Carlo simulations are explored, including log-normal price movements, correlated asset Value-at-Risk calculation, and price movements under the GARCH model. Our results show that hardware implementations from our approach on a Xilinx Virtex-4 XC4VSX55 device run on-average 80 times faster than software on a 2.66GHz PC.

引用

页码：377 / +

页数：2

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