Title :
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
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;
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
DOI :
10.1109/FPL.2008.4629953
