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This paper provides the first comparison of performance and energy efficiency of high productivity computing systems based on FPGA (Field-Programmable Gate Array) and GPU (Graphics Processing Unit) technologies. The search for higher performance compute solutions has recently led to great interest in heterogeneous systems containing FPGA and GPU accelerators. While these accelerators can provide significant...
Monte-Carlo (MC) simulation is an effective tool for solving complex problems such as many-body simulation, exotic option pricing and partial differential equation solving. The huge amount of computation in MC makes it a good candidate for acceleration using hardware and distributed computing platforms. We propose a novel MC simulation framework suitable for a wide range of problems. This framework...
Exotic options are financial derivatives which have complex features including path-dependency. These complex features make them difficult to price, as only computationally intensive Monte-Carlo methods can provide accurate prices. This paper proposes an FPGA-accelerated control variate Monte-Carlo (CVMC) framework for pricing exotic options. An optimised implementation of arithmetic Asian option...
Reconfigurable computing technologies have been used in a variety of computer systems, from supercomputers to portable embedded systems. However, developing applications on reconfigurable computers still appears to be more difficult than developing applications on conventional computers and on graphics processing units. This paper suggests some reasons about why this could be the case, and proposes...
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