HyPER: A runtime reconfigurable architecture for monte carlo option pricing in the Heston model

Abstract

High-speed and energy-efficient computations are mandatory in the financial and insurance industry to survive in competition and meet the federal reporting requirements. On a hybrid CPU/FPGA system we propose a modular pricing engine and derive a novel algorithmic extension able to exploit online dynamic reconfiguration. The result is a high-performance and energy-efficient pricing system suitable for exotic option pricing in the state-of-the-art Heston market model. With the online reconfiguration extension our hybrid pricing system is nearly two orders of magnitude faster than high-end Intel CPUs, while consuming the same power.