TY - GEN
T1 - Financial monte carlo simulation on architecturally diverse systems
AU - Singla, Naveen
AU - Hall, Michael
AU - Shands, Berkley
AU - Chamberlain, Roger D.
PY - 2008
Y1 - 2008
N2 - Computational finance relies heavily on the use of Monte Carlo simulation techniques. However, Monte Carlo simulation is computationally very demanding. We demonstrate the use of architecturally diverse systems to accelerate the performance of these simulations, exploiting both graphics processing units and field-programmable gate arrays. Performance results include a speedup of 74 × relative to an 8 core multiprocessor system (180× relative to a single processor core).
AB - Computational finance relies heavily on the use of Monte Carlo simulation techniques. However, Monte Carlo simulation is computationally very demanding. We demonstrate the use of architecturally diverse systems to accelerate the performance of these simulations, exploiting both graphics processing units and field-programmable gate arrays. Performance results include a speedup of 74 × relative to an 8 core multiprocessor system (180× relative to a single processor core).
UR - https://www.scopus.com/pages/publications/62949097253
U2 - 10.1109/WHPCF.2008.4745401
DO - 10.1109/WHPCF.2008.4745401
M3 - Conference contribution
AN - SCOPUS:62949097253
SN - 9781424433117
T3 - 2008 Workshop on High Performance Computational Finance, WHPCF 2008
BT - 2008 Workshop on High Performance Computational Finance, WHPCF 2008
T2 - 2008 Workshop on High Performance Computational Finance, WHPCF 2008
Y2 - 16 November 2008 through 16 November 2008
ER -