Dynamic constant reconfiguration for explicit finite difference option pricing

Proceedings - 2011 International Conference on Reconfigurable Computing and FPGAs, ReConFig 2011

Volumn , Issue , 2011, Pages 176-181

  Becker, Tobias ^a   Jin, Qiwei ^a   Luk, Wayne ^a   Weston, Stephen ^b  

^a IMPERIAL COLLEGE LONDON   (United Kingdom)

^b JP Morgan   (United Kingdom)

Author keywords

constant specialisation; explicit finite difference; FPGA; option pricing; run time reconfiguration

Indexed keywords

AMERICAN OPTIONS; AREA ESTIMATION; CONSTANT SPECIALISATION; DESIGN OPTION; FINITE DIFFERENCE; HARDWARE ACCELERATION; HARDWARE IMPLEMENTATIONS; OPTIMISATIONS; OPTION PRICING; RECONFIGURABLE DESIGNS; RUN TIME RECONFIGURATION;

DESIGN; ECONOMICS; HARDWARE; RECONFIGURABLE ARCHITECTURES; RECONFIGURABLE HARDWARE;

FIELD PROGRAMMABLE GATE ARRAYS (FPGA);

EID: 84856870967     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/ReConFig.2011.29     Document Type: Conference Paper

References (17)

1. J. Hull, Options, Futures and Other Derivatives, 6th ed. Prentice Hall, 2005.
2. Q. Jin, D.B. Thomas, and W. Luk, "Exploring reconfigurable architectures for explicit finite difference option pricing models," in Field Programmable Logic and Applications. IEEE, 2009, pp. 73-78.
3. T. Becker, W. Luk, and P.Y.K. Cheung, "Parametric design for reconfigurable software-defined radio," in ARC '09: 5th Intl. Workshop on Reconf. Comp.. Springer, 2009, pp. 15-26.
4. T. Becker, W. Luk, and P.Y.K. Cheung, "Energy-aware optimisation for run-time reconfiguration," in Field-Programmable Custom Computing Machines. IEEE Computer Society, 2010, pp. 55-62.
5. F. Black and M. Scholes, "The pricing of options and corporate liabilities," Journal of Political Economy, vol. 81, pp. 637-654, May - Jun 1973.
6. D.B. Thomas, J.A. Bower, andW. Luk, "Automatic generation and optimisation of reconfigurable financial Monte-Carlo simulations," in Application-specific Systems, Architecures and Processors. IEEE CS, 2007, pp. 168-173.
7. X. Tian and C.S. Bouganis, "A run-time adaptive FPGA architecture for monte carlo simulations," in Field Programmable Logic and Applications. IEEE, 2011, pp. 116-122.
8. X. Tian and K. Benkrid, "High-performance quasi-monte carlo financial simulation: FPGA vs. GPP vs. GPU," Trans. Reconf. Technol. Syst., vol. 3, pp. 26:1-26:22, Nov. 2010.
9. A.H.T. Tse, D.B. Thomas, and W. Luk, "Accelerating quadrature methods for option valuation," in Field Programmable Custom Computing Machines. IEEE CS, 2009, pp. 29-36.
10. Q. Jin, D.B. Thomas, W. Luk, and B. Cope, "Exploring reconfigurable architectures for tree-based option pricing models," Trans. on Reconf. Techn. and Systems,, vol. 2, no. 4, 2009.
11. L. Elden, "Numerical solution of the sideways heat equation by difference approximation in time," Inverse Problems, vol. 11, no. 4, p. 913923, 1995.
12. L. Gao, B. Zhang, and D. Liang, "The splitting finite-difference time-domain methods for Maxwell's equations in two dimensions," Journal of Computational and Applied Mathematics, vol. 205, no. 1, pp. 207-230, 2007. (Pubitemid 46636069)
13. S. Singh, J. Hogg, and D. McAuley, "Expressing dynamic reconfiguration by partial evaluation," in Field-Programmable Custom Computing Machines. IEEE CS, 1996, pp. 188-194.
14. S. McMillan and C. Patterson, "JBits implementations of the advanced encrpytion standard (Rijndael)," in Field-Prog. Logic and Applications, Springer, 2001, pp. 162-171.
15. D. Benyamin, W. Luk, and J. Villasenor, "Optimizing FPGA-based vector product designs," in Field-Programmable Custom Computing Machines. IEEE CS, 1999, pp. 188-197.
16. "Flopoco," http://flopoco.gforge.inria.fr, version 2.2.1.
17. C. Claus et al., "A multi-platform controller allowing for maximum dynamic partial reconfiguration throughput," in Field-Programmable Logic and Applications. IEEE, 2008, pp. 535-538.