基于蒙特卡罗的金融模拟的硬件架构

2006 IEEE International Conference on Field Programmable Technology Pub Date : 2006-12-01 DOI:10.1109/FPT.2006.270352

David B. Thomas, Jacob A. Bower, W. Luk

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引用次数: 21

摘要

本文介绍了一种在可重构器件中实现蒙特卡罗金融模拟的方法和结果。本文探讨了五种不同的蒙特卡罗模拟，包括对数正态价格运动、相关资产风险价值计算和GARCH模型下的价格运动。我们的结果表明，我们的方法在Xilinx Virtex-4 xc4vs55设备上的硬件实现的运行速度平均比2.66GHz PC上的软件快80倍

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Hardware architectures for Monte-Carlo based financial simulations

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

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来源期刊

2006 IEEE International Conference on Field Programmable Technology

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