NDLI: Massively parallelized Quasi-Monte Carlo financial simulation on a FPGA supercomputer

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Massively parallelized Quasi-Monte Carlo financial simulation on a FPGA supercomputer

Content Provider	IEEE Xplore Digital Library
Author	Xiang Tian Benkrid, K.
Copyright Year	2008
Description	Author affiliation: Sch. of Eng. & Electron., Univ. of Edinburgh, Edinburgh (Xiang Tian; Benkrid, K.)
Abstract	Quasi-Monte Carlo simulation is a specialized Monte Carlo method which uses quasi-random, or low-discrepancy, numbers as the stochastic parameters. In many applications, this method has proved advantageous compared to the traditional Monte Carlo simulation method, which uses pseudo-random numbers, as it converges relatively quickly, and with a better level of accuracy. We implemented a massively parallelized Quasi-Monte Carlo simulation engine on a FPGA-based supercomputer, called Maxwell, and developed at the University of Edinburgh. Maxwell consists of 32 IBM Intel Xeon blades each hosting two Virtex-4 FPGA nodes through PCI-X interface. Real hardware implementation of our FPGA-based quasi-Monte Carlo engine on the Maxwell machine outperforms equivalent software implementations running on the Xeon processors by 3 orders of magnitude, with the speed-up figure scaling linearly with the number of processing nodes. The paper presents the detailed design and implementation of our Quasi-Monte Carlo engine in the context of financial derivatives pricing.
Starting Page	1
Ending Page	8
File Size	459886
Page Count	8
File Format	PDF
ISBN	9781424428267
DOI	10.1109/HPRCTA.2008.4745684
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2008-11-16
Publisher Place	USA
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Computational modeling Blades Physics computing Stochastic processes Pricing Supercomputers Hardware Field programmable gate arrays Engines Random number generation
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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