Energy Efficient Acceleration and Evaluation of Financial Computations towards Real-Time Pricing

  • Christian de Schryver
  • Matthias Jung
  • Norbert Wehn
  • Henning Marxen
  • Anton Kostiuk
  • Ralf Korn
Conference paper

DOI: 10.1007/978-3-642-23866-6_19

Part of the Lecture Notes in Computer Science book series (LNCS, volume 6884)
Cite this paper as:
de Schryver C., Jung M., Wehn N., Marxen H., Kostiuk A., Korn R. (2011) Energy Efficient Acceleration and Evaluation of Financial Computations towards Real-Time Pricing. In: König A., Dengel A., Hinkelmann K., Kise K., Howlett R.J., Jain L.C. (eds) Knowledge-Based and Intelligent Information and Engineering Systems. KES 2011. Lecture Notes in Computer Science, vol 6884. Springer, Berlin, Heidelberg

Abstract

Modern financial markets are as vivid as never before. Asset prices - and therefore the prices of all related financial products - change within several milliseconds nowadays. However, not only due to the financial crisis in 2008, calculating fair and meaningful prices for these products is much more important than in the past. In order to obtain reliable prices, sophisticated simulation models have to be used. Pricing in these models in general has a very high computational complexity and can in many cases only be approximately done by using numerical methods. On the other hand, we all know that energy costs will become more and more significant in the future. The gap between the increasing computational complexity and the consumed energy can only be bridged by using more tailored computation engines, like dedicated hardware accelerators or application specific instruction set processors (ASIPs). In this paper we present a comprehensive methodology for the efficient design of optimal hardware accelerators and the evaluation thereof. We give two case studies: a new hardware random number generator for arbitrary distributions and a dedicated hardware accelerator for calculating European barrier option prices.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2011

Authors and Affiliations

  • Christian de Schryver
    • 1
  • Matthias Jung
    • 1
  • Norbert Wehn
    • 1
  • Henning Marxen
    • 2
  • Anton Kostiuk
    • 2
  • Ralf Korn
    • 2
  1. 1.Departments of Electrical EngineeringUniversity of KaiserslauternKaiserslauternGermany
  2. 2.Departments of MathematicsUniversity of KaiserslauternKaiserslauternGermany

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