High-performance Quasi-Monte Carlo financial simulation: FPGA vs. GPP vs. GPU

ACM Transactions on Reconfigurable Technology and Systems

Volumn 3, Issue 4, 2010, Pages

  Tian, Xiang ^a   Benkrid, Khaled ^a  

^a UNIVERSITY OF EDINBURGH   (United Kingdom)

Author keywords

CPU; FPGA; GPU; Maxwell; Option pricing; Quasi Monte Carlo simulations

Indexed keywords

CPU; GPU; MAXWELL; OPTION PRICING; QUASI-MONTE CARLO SIMULATION;

COMPUTER GRAPHICS; ECONOMICS; ENERGY EFFICIENCY; FIELD PROGRAMMABLE GATE ARRAYS (FPGA); HARDWARE; MAXWELL EQUATIONS; PROGRAM PROCESSORS; SUPERCOMPUTERS;

MONTE CARLO METHODS;

EID: 79551549439     PISSN: 19367406     EISSN: 19367414     Source Type: Journal    
DOI: 10.1145/1862648.1862656     Document Type: Article

References (23)

1. BAXTER, R., BOOTH, S., BULL, M., CAWOOD, G., PERRY, J., PARSONS, M., SIMPSON, A., TREW, A., MCCORMICK, A., SMART, G., SMART, R., CANTLE, A., CHAMBERLAIN, R., AND GENEST, G. 2007. Maxwell - A 64 FPGA supercomputer. In Proceedings of the 2nd NASA/ESA Conference on Adaptive Hardware and Systems (AHS'07). 287-294.
2. CHEUNG, R. C. C., LEE, D.-U., LUK, W., AND VILLASENOR, J. D. 2007. Hardware generation of arbitrary random number distributions from uniform distributions via the inversion method. IEEE Trans. on VLSI Syst. 952-962.
3. DALAL, I. L., STEFAN, D., AND HARWAYNE-GIDANSKY, J. 2008. Low discrepancy sequences for Monte Carlo simulations on reconfigurable platforms. In Proceedings of the International Conference on Application-Specific Systems, Architectures and Processors. 108-113.
4. ENTACHER, K., SCHELL, T., SCHMID, W. C., AND UHL, A. 2003. Defects in parallel Monte Carlo and quasi-Monte Carlo integration using the leap-frog technique. Int. J. Paral. Emer. Distrib. Syst. 18, 13-26.
5. HULL, J. C. 2000. Option, Futures, and other Derivatives. Prentice Hall.
6. INTEL. 2007a. Intel R® Math Kernel Library Reference Manual. Intel Corporation.
7. INTEL. 2007b. Intel R® Math Kernel Library Vector Statistical Library Notes. Intel Corporation.
8. J ÄCKEL, P. 2002. Monte Carlo Methods in Finance. John Wiley & Sons, Ltd.
9. JOY, C., BOYLE, P. P., AND TAN, K. S. 1996. Quasi-Monte Carlo methods in numerical finance. Manage. Sci. 42, 926-938.
10. MENCER, O., BOULLIS, N., LUK, W., AND STYLES, H. 2001. Parameterized function evaluation for FPGAs. In Proceedings of the 11th International Conference on Field-Programmable Logic and Applications. 544-554.
11. MORRIS, G. W. AND AUBURY, M. 2007. Design space exploration of the European option benchmark using hyperstreams. In Proceedings of the International Conference on Field Programmable Logic and Applications (FPL'07). 5-10.
12. NIEDERREITER, H. 1992. Random Number Generation and Quasi-Monte Carlo Methods. Society for Industrial and Applied Mathematics.
13. NVIDIA. 2008. NVIDIA CUDA Compute Unified Device Architecture Programming Guide. NVIDIA Corporation.
14. PRESS, W. H., TEUKOLSKY, S. A., VETTERLING, W. T., AND FLANNERY, B. P. 1992. Numerical Recipes in C: The Art of Scientific Computing. Cambridge University Press.
15. SNIR, M. AND OTTO, S. 1998. MPI-The Complete Reference. MIT Press, Cambridge,MA.
16. SUN. 2002. Sun ONE Grid Engine Administration and User's Guide. Sun Microsystems, Inc.
17. THOMAS, D. B., BOWER, J. A., AND LUK, W. 2006. Hardware architectures for Monte-Carlo based financial simulations. In Proceedings of the IEEE International Conference on Field Programmable Technology (FPT'06). 377-380.
18. TIAN, X. AND BENKRID, K. 2008. Design and implementation of a high performance financial Monte-Carlo simulation engine on an FPGA supercomputer. In Proceedings of the International Conference on Field-Programmable Technology (FPT'08). 81-88.
19. TIAN, X., BENKRID, K., AND GU, X. 2008. High performance Monte-Carlo based option pricing on FPGAs. Engi. Lett. 16, 434-442.
20. WOODS, N. A. AND VANCOURT, T. 2008. FPGA acceleration of Quasi-Monte Carlo in finance. In Proceedings of the International Conference on Field Programmable Logic and Applications (FPL'08). 335-340.
21. YEUNG, J. H. C., TSANG, C. C., TSOI, K. H., KWAN, B. S. H., CHEUNG, C. C. C., CHAN, A. P. C., AND LEONG, P. H. W. 2008. Map-reduce as a programming model for custom computing machines. In Proceedings of the 16th International Symposium on Field-Programmable Custom Computing Machines (FCCM'08). 149-159.
22. ZENIOS, S. A. 1999. High-performance computing in finance: The last 10 years and the next. Paral. Comput. 25, 2149-2175.
23. ZHANG, G. L., LEONG, P. H. W.,HO, C.H., TSOI, K. H., CHEUNG,C. C. C., LEE, D.-U.,CHEUNG, R. C. C., AND LUK, W. 2005. Reconfigurable acceleration for Monte Carlo based financial simulation. In Proceedings of the IEEE International Conference on Field-Programmable Technology (FPT'05). 215-222.