Financial Monte Carlo Simulation on Architecturally Diverse Systems

Authors

Naveen Singla, Washington University in St Louis
Michael Hall, Washington University in St Louis
Berkley Shands, Washington University in St Louis
Roger D. Chamberlain, Washington University in St. LouisFollow

Document Type

Technical Report

Department

Computer Science and Engineering

Publication Date

2008-01-01

Filename

wucse-2008-21.pdf

Technical Report Number

WUCSE-2008-21

Abstract

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).

Comments

Permanent URL: http://dx.doi.org/10.7936/K7833Q85

Recommended Citation

Singla, Naveen; Hall, Michael; Shands, Berkley; and Chamberlain, Roger D., "Financial Monte Carlo Simulation on Architecturally Diverse Systems" Report Number: WUCSE-2008-21 (2008). All Computer Science and Engineering Research.
https://openscholarship.wustl.edu/cse_research/231