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» High Performance Monte-Carlo Based Option Pricing on FPGAs
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ENGL
2008
186views more  ENGL 2008»
9 years 2 months ago
High Performance Monte-Carlo Based Option Pricing on FPGAs
High performance computing is becoming increasingly important in the field of financial computing, as the complexity of financial models continues to increase. Many of these financ...
Xiang Tian, Khaled Benkrid, Xiaochen Gu
WSC
2007
9 years 4 months ago
Monte Carlo methods for valuation of ratchet Equity Indexed Annuities
Equity Indexed Annuities (EIAs) are popular insurance contracts. EIAs provide the insured with a guaranteed accumulation rate on their premium at maturity. In addition, the insure...
Ming-hua Hsieh, Yu-fen Chiu
ASAP
2007
IEEE
157views Hardware» more  ASAP 2007»
9 years 6 months ago
Automatic Generation and Optimisation of Reconfigurable Financial Monte-Carlo Simulations
Monte-Carlo simulations are used in many applications, such as option pricing and portfolio evaluation. Due to their high computational load and intrinsic parallelism, they are id...
David B. Thomas, Jacob A. Bower, Wayne Luk
WSC
1998
9 years 3 months ago
Accelerated Simulation for Pricing Asian Options
When pricing options via Monte Carlo simulations, precision can be improved either by performing longer simulations, or by reducing the variance of the estimators. In this paper, ...
Felisa J. Vázquez-Abad, Daniel Dufresne
SC
2015
ACM
3 years 10 months ago
Fulfilling solvency II regulations using high performance computing
below  for  abstract  and  speaker  biography.   9:00-­‐9:20   Solving  the  Optimal  Trading  Trajectory  Problem  Using  a  Quantu...
Mark Tucker, J. Mark Bull
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