Financial Monte Carlo simulation on architecturally diverse systems

Computational finance relies heavily on the use of Monte Carlo simulation techniques. However, Monte Carlo simulation is computationally very demanding. We demonstrate the use of architecturally diverse systems to accelerate the performance of these simulations, exploiting both graphics processing u...

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Bibliographic Details
Published in2008 Workshop on High Performance Computational Finance pp. 1 - 7
Main Authors Singla, N., Hall, M., Shands, B., Chamberlain, R.D.
Format Conference Proceeding
LanguageEnglish
Published IEEE 01.11.2008
Subjects
Acceleration
Computational modeling
Computer graphics
Coprocessors
Field programmable gate arrays
Finance
Instruments
Portfolios
Pricing
Reactive power
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Summary:Computational finance relies heavily on the use of Monte Carlo simulation techniques. However, Monte Carlo simulation is computationally very demanding. We demonstrate the use of architecturally diverse systems to accelerate the performance of these simulations, exploiting both graphics processing units and field-programmable gate arrays. Performance results include a speedup of 74times relative to an 8 core multiprocessor system (180times relative to a single processor core).
ISBN:1424429110
9781424429110
DOI:10.1109/WHPCF.2008.4745401