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On comparing financial option price solvers on fpga

by Qiwei Jin , Wayne Luk , David B Thomas - in Field-Programmable Custom Computing Machines (FCCM), 2011 IEEE 19th Annual International Symposium on , 2011
"... Abstract-A number of different numerical methods for accelerating financial option pricing using FPGAs have recently been investigated, such as Monte-Carlo, finite-difference, quadrature, and binomial trees. However, these papers only compare acceleration of each method against the same method in s ..."
Abstract - Cited by 5 (2 self) - Add to MetaCart
Abstract-A number of different numerical methods for accelerating financial option pricing using FPGAs have recently been investigated, such as Monte-Carlo, finite-difference, quadrature, and binomial trees. However, these papers only compare acceleration of each method against the same method

An energy efficient FPGA accelerator for monte carlo option pricing with the heston model

by Christian De Schryver, Ivan Shcherbakov, Frank Kienle, Norbert Wehn, Henning Marxen, Anton Kostiuk, Ralf Korn - in 2011 International Conference on Reconfigurable Computing and FPGAs (ReConFig , 2011
"... Abstract—Today, pricing of derivates (particularly options) in financial institutions is a challenge. Besides the increasing complexity of the products, obtaining fair prices requires more realistic (and therefore complex) models of the underlying asset behavior. Not only due to the increasing costs ..."
Abstract - Cited by 2 (0 self) - Add to MetaCart
costs, energy efficient and accurate pricing of these models becomes more and more important. In this paper we present- to the best of our knowledge- the first FPGA based accelerator for option pricing with the state-of-the-art Heston model. It is based on advanced Monte Carlo simulations. Compared

Behavioral theories and the neurophysiology of reward,

by Wolfram Schultz - Annu. Rev. Psychol. , 2006
"... ■ Abstract The functions of rewards are based primarily on their effects on behavior and are less directly governed by the physics and chemistry of input events as in sensory systems. Therefore, the investigation of neural mechanisms underlying reward functions requires behavioral theories that can ..."
Abstract - Cited by 187 (0 self) - Add to MetaCart
of individual rewards is to compare them in choice behavior. Given two options, I would choose the one that at this moment has the higher value for me. Give me the choice between a one-dollar bill and an apple, and you will see which one I prefer and thus my action will tell you whether the value of the apple

Option pricing with multi-dimensional quadrature architectures

by Anson H. T. Tse, David B. Thomas, Wayne Luk - in Proceedings of the 2009 International Conference on Field-Programmable Technology, IEEE Computer Society, 2009
"... Abstract—Quadrature based methods for numerical integration provide a means of quickly and accurately pricing financial products such as options. These methods can be applied to multidimensional products, such as options on multiple underlying assets, but suffer from an exponential increase in compu ..."
Abstract - Cited by 3 (2 self) - Add to MetaCart
Abstract—Quadrature based methods for numerical integration provide a means of quickly and accurately pricing financial products such as options. These methods can be applied to multidimensional products, such as options on multiple underlying assets, but suffer from an exponential increase

Design of Power Efficient FPGA based Hardware Accelerators for Financial Applications

by Jonas Stenbrek Hegner, Joakim Sindholt, Alberto Nannarelli - in Proc. of the 30th NORCHIP Conference , 2012
"... accelerate financial derivative calculations is becoming very common. In this work, we implement an FPGA-based specific processor for European option pricing using Monte Carlo simu lations, and we compare its performance and power dissipation to the execution on a CPU. The experimental results show ..."
Abstract - Cited by 1 (1 self) - Add to MetaCart
accelerate financial derivative calculations is becoming very common. In this work, we implement an FPGA-based specific processor for European option pricing using Monte Carlo simu lations, and we compare its performance and power dissipation to the execution on a CPU. The experimental results show

Energy-Efficient FPGA Implementation for Binomial Option Pricing Using OpenCL

by unknown authors
"... Abstract—Energy efficiency of financial computations is a performance criterion that can no longer be dismissed, and is as crucial as raw acceleration and accuracy of the solution. In order to reduce the energy consumption of financial accelerators, FPGAs offer a good compromise with low power consu ..."
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high-level approach has been chosen, using Altera’s implementation of the OpenCL standard, to answer this issue. We present two FPGA implementations of the binomial option pricing model on American options. The results obtained on a Terasic DE4- Stratix IV board form a solid basis to hold all

UNIFYING FINITE DIFFERENCE OPTION-PRICING FOR HARDWARE ACCELERATION

by Qiwei Jin, Wayne Luk, David B. Thomas
"... Explicit finite difference method is widely used in finance for pricing many kinds of options. Its regular computational pattern makes it an ideal candidate for acceleration using reconfigurable hardware. However, because the corresponding hardware designs must be optimised both for the specific opt ..."
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Explicit finite difference method is widely used in finance for pricing many kinds of options. Its regular computational pattern makes it an ideal candidate for acceleration using reconfigurable hardware. However, because the corresponding hardware designs must be optimised both for the specific

PRICING LADDER OPTIONS WITH COMBINATORICS

by B Q Li , H J Zhao , J Lei , 2009
"... Abstract Exotic options are popular financial derivatives that play essential roles in financial markets. How to price them efficiently and accurately is very important both in theory and practice. The lattice model is usually used to price them. The prices computed by the lattice converge to the t ..."
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Abstract Exotic options are popular financial derivatives that play essential roles in financial markets. How to price them efficiently and accurately is very important both in theory and practice. The lattice model is usually used to price them. The prices computed by the lattice converge

Financial Modelling and Option Theory with the Truncated Levy Process

by Andrew Matacz , 1997
"... In recent studies the truncated Levy process (TLP) has been shown to be very promising for the modeling of financial dynamics. In contrast to the Levy process, the TLP has finite moments and can account for both the previously observed excess kurtosis at short timescales, along with the slow converg ..."
Abstract - Cited by 39 (0 self) - Add to MetaCart
sense optimal. These are compared with the usual delta hedging approach and found to differ significantly. I also derive the natural generalization of the Black-Scholes option pricing formula when the underlying security is modeled by a geometric TLP. This generalization would not be possible without

The Generalized Hyperbolic Model: Financial Derivatives and Risk Measures

by Ernst Eberlein, Karsten Prause - MATHEMATICAL FINANCE – BACHELIER CONGRESS 2000, GEMAN , 1998
"... Statistical analysis of data from the nancial markets shows that generalized hyperbolic (GH) distributions allow a more realistic description of asset returns than the classical normal distribution. GH distributions contain as subclasses hyperbolic as well as normal inverse Gaussian (NIG) distributi ..."
Abstract - Cited by 83 (12 self) - Add to MetaCart
. This GH model is a generalization of the hyperbolic model developed by Eberlein and Keller (1995). It is incomplete. We derive an option pricing formula for GH driven models using the Esscher transform as martingale measure and compare the prices with classical Black-Scholes prices. The objective
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