Hardware architectures for Monte-Carlo based financial simulations

Abstract

This paper presents a methodology and the results of implementing Monte-Carlo financial simulations in reconfigurable devices. Five different Monte-Carlo simulations are explored, including log-normal price movements, correlated asset value-at-risk calculation, and price movements under the GARCH model. Our results show that hardware implementations from our approach on a Xilinx Virtex-4 XC4VSX55 device run on-average 80 times faster than software on a 2.66GHz PC