Towards run-time flexible risk management systems on hybrid platforms

Summary form only given. High-speed and energy-efficient computations are mandatory in the financial and insurance industry to survive in competition and meet the federal reporting requirements. In particular risk analysis and management requires the computation of a large number of prices for a wide range of financial products. FPGAs have a huge potential to accelerate pricing of many products. In this talk I will present a flexible option pricing system that automatically maps a wide range of products on a hybrid CPU / FPGA system. The platform uses runtime reconfiguration and adaptive reduced- precision datapaths to exploit the hardware aspects of FPGAs, while providing the same accuracy as on CPU.