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High-speed and energy-efficient computations are mandatory in the financial and insurance industry to survive in competition and meet the federal reporting requirements. On a hybrid CPU/FPGA system we propose a modular pricing engine and derive a novel algorithmic extension able to exploit online dynamic reconfiguration. The result is a high-performance and energy-efficient pricing system suitable...
Multi-asset barrier contracts are path-dependent exotic options consisting of two or more underlying assets. As the dimensions of an option increase, so does the mathematical complexity of a closed form solution. Monte Carlo (MC) methods offer an attractive solution under such conditions. MC methods have an O(n-1/2) convergence rate irrespective of the dimension of the integral. However, such methods...
Monte Carlo simulation is mainly done in computer clusters, supercomputers or computers coupled with hardware accelerators. These processing methods are sufficiently fast, however, this speed comes at the expense of physical area and power consumption. The current study aims to use System-On-Programmable-Chip (SOPC) to accomplish the same task but using a smaller physical footprint. The SOPC approach...
We have developed a new variant of the particle filter algorithm for estimating a signal from noisy observations. It suits ideally implementation on a cellular processor array. The error of the new algorithm is essentially the same as that of the old one but it runs much faster, especially when there is a large number of particles to be simulated.
The cellular Potts model (CPM) has been widely used for biological simulations. However, most of current implementations are either sequential or approximate, which cannot be used for large scale complex 3D simulation. In this paper we present a hybrid parallel framework for CPM simulations. The time-consuming partial differential equation (PDE) solving, cell division, and cell reaction operation...
The modern-day system-on-chip communication posses complex characteristics- (a) the communication times of individual transactions are difficult to predict, (b) concurrent communication techniques are employed to meet the performance of emerging applications, and (c) communication is hierarchical. Thus, performance of communication architecture plays major role in determining the performance of the...
With the event of nanoscale technologies, new physical phenomena and technological limitations are increasing the process variability and its impact on circuit yield and performances. Like combinatory cells, the sequential cells also suffer of variations, impacting their timing characteristics. Regarding the timing behaviors, setup and hold time violation probabilities are increasing. This article...
The ergodic capacity of single input multiple output (SIMO) wireless communication systems over Nakagami-m fading channels is available in the literature for the case of identically independent distributed (i.i.d.) subchannels. However, the non- identically independent Nakagami-m case is more practical and has not been considered in the literature. In this paper, we derive an analytical expression...
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