NDLI: Distributed Monte Carlo simulation for option pricing: The first completed benchmark and applications of distributed Monte Carlo simulation model on high-performance computing architecture

Content Provider	IEEE Xplore Digital Library
Author	Wang, F.Y.
Copyright Year	2009
Description	Author affiliation: Fund Management & Fund Linked Derivatives Department. Barclays Capital London, United Kingdom (Wang, F.Y.)
Abstract	As financial institution computing requirements grow exponentially, we have explored the potential for the ClearSpeed Accelerator, the Cell processor and the FPGA (A field-programmable gate array) to run risk analytics applications. We also invented the Smoothed Alias Method based generator for FPGA in order to achieve the fast result. We have taken Monte Carlo algorithm from my C++ Quantitative Library and rewrite it for this benchmark purpose and test the algorithm with some clever numerical adaptation with the Bulk Synchronous Parallel (BSP) computing model in order to leverage the distributed computing architecture. Following the initial benchmark, we have chosen to use the ClearSpeed Accelerator. With some smart quant re-engineering, we have further optimized the Distributed MC algorithm for pricing Bermudan Swaption to exploit the potential of distributed-based architecture. We will show the comparative benchmark results of the MC algorithm on ClearSpeed Accelerator, Cell and FPGA platform for the first time within our industry based on my working notes from my time in Barclays Capital London.
Starting Page	297
Ending Page	300
File Size	214213
Page Count	4
File Format	PDF
ISBN	9781424452187
DOI	10.1109/CYBERC.2009.5342201
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2009-10-10
Publisher Place	China
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Concurrent computing Computational modeling Pricing Computer architecture Benchmark testing Risk analysis Distributed computing Field programmable gate arrays Random number generation Contracts
Content Type	Text
Resource Type	Article

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4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
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