FPGA acceleration of Monte-Carlo based credit derivative pricing

Author

Kaganov, Alexander ; Chow, Paul ; Lakhany, Asif

Author_Institution

Dept. of Electr. & Comput. Eng., Univ. of Toronto, Toronto, ON

fYear

2008

fDate

8-10 Sept. 2008

Firstpage

329

Lastpage

334

Abstract

In recent years the financial world has seen an increasing demand for faster risk simulations, driven by growth in client portfolios. Traditionally many financial models employ Monte-Carlo simulation, which can take excessively long to compute in software. This paper describes a hardware implementation for collateralized debt obligations (CDOs) pricing, using the one-factor Gaussian copula (OFGC) model. We explore the precision requirements and the resulting resource utilization for each number representation. Our results show that our hardware implementation mapped onto a Xilinx XC5VSX50T is over 63 times faster than a software implementation running on a 3.4 GHz Intel Xeon processor.

Keywords

Monte Carlo methods; field programmable gate arrays; financial data processing; pricing; FPGA acceleration; Monte-Carlo based credit derivative pricing; client portfolios; collateralized debt obligations pricing; one-factor Gaussian copula model; Acceleration; Analytical models; Computational modeling; Computer simulation; Field programmable gate arrays; Hardware; Instruments; Portfolios; Pricing; Resource management;

fLanguage

English

Publisher

ieee

Conference_Titel

Field Programmable Logic and Applications, 2008. FPL 2008. International Conference on

Conference_Location

Heidelberg

Print_ISBN

978-1-4244-1960-9

Electronic_ISBN

978-1-4244-1961-6

Type

conf

DOI

10.1109/FPL.2008.4629953

Filename

4629953