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» High Performance Monte-Carlo Based Option Pricing on FPGAs
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WSC
2004
10 years 5 months ago
Simulation-Based Pricing of Mortgage-Backed Securities
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...
Jian Chen
IPPS
2008
IEEE
10 years 10 months ago
Financial modeling on the cell broadband engine
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...
Virat Agarwal, Lurng-Kuo Liu, David A. Bader
JC
2006
115views more  JC 2006»
10 years 4 months ago
Randomly shifted lattice rules on the unit cube for unbounded integrands in high dimensions
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...
Benjamin J. Waterhouse, Frances Y. Kuo, Ian H. Slo...
SC
2009
ACM
10 years 8 months ago
GPU based sparse grid technique for solving multidimensional options pricing PDEs
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...
Abhijeet Gaikwad, Ioane Muni Toke
CISIS
2011
IEEE
9 years 4 months ago
Improving Scheduling Techniques in Heterogeneous Systems with Dynamic, On-Line Optimisations
—Computational performance increasingly depends on parallelism, and many systems rely on heterogeneous resources such as GPUs and FPGAs to accelerate computationally intensive ap...
Marcin Bogdanski, Peter R. Lewis, Tobias Becker, X...
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