13 search results - page 2 / 3 » High Performance Monte-Carlo Based Option Pricing on FPGAs |
WSC
2004
13 years 6 months ago
2004
Mortgage-Backed-Securities (MBS), as the largest investment class of fixed income securities, have always been hard to price. Because of the following reasons, normal numerical me...
IPPS
2008
IEEE
13 years 11 months ago
2008
IEEE
High performance computing is critical for financial markets where analysts seek to accelerate complex optimizations such as pricing engines to maintain a competitive edge. In th...
JC
2006
13 years 4 months ago
2006
We study the problem of multivariate integration on the unit cube for unbounded integrands. Our study is motivated by problems in statistics and mathematical finance, where unboun...
SC
2009
ACM
13 years 9 months ago
2009
ACM
It has been shown that the sparse grid combination technique can be a practical tool to solve high dimensional PDEs arising in multidimensional option pricing problems in finance...
CISIS
2011
IEEE
12 years 4 months ago
2011
IEEE
—Computational performance increasingly depends on parallelism, and many systems rely on heterogeneous resources such as GPUs and FPGAs to accelerate computationally intensive ap...