Bringing Flexibility to FPGA Based Pricing Systems

  • Christian BruggerEmail author
  • Christian De Schryver
  • Norbert Wehn


High-speed and energy-efficient computations are mandatory in the financial and insurance industry to survive in competition and meet the federal reporting requirements. While FPGA based systems have demonstrated to provide huge speedups, they are perceived to be much harder to adapt to new products. In this chapter we introduce HyPER, a novel methodology for designing Monte Carlo based pricing engines for hybrid CPU/FPGA systems. Following this approach, we derive a high-performance and flexible system for exotic option pricing in the state-of-the-art Heston market model. Exemplarily, we show how to find an efficient implementation for barrier option pricing on the Xilinx Zynq 7020 All Programmable SoC with HyPER. The constructed system is nearly two orders of magnitude faster than high-end Intel CPUs, while consuming the same power.


Monte Carlo Option Price Central Processing Unit Barrier Option Asian Option 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.



We gratefully acknowledge the partial financial support from the Center of Mathematical and Computational Modelling (CM)2 of the University of Kaiserslautern, from the German Federal Ministry of Education and Research under grant number 01LY1202D, and from the Deutsche Forschungsgemeinschaft (DFG) within the RTG GRK 1932 “Stochastic Models for Innovations in the Engineering Sciences”, project area P2. The authors alone are responsible for the content of this work.


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Copyright information

© Springer International Publishing Switzerland 2015

Authors and Affiliations

  • Christian Brugger
    • 1
    Email author
  • Christian De Schryver
    • 1
  • Norbert Wehn
    • 1
  1. 1.Microelectronic Systems Design Research GroupUniversity of KaiserslauternKaiserslauternGermany

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