Exploring Financial Applications on Many-Core-on-a-Chip Architecture: A First Experiment

  • Weirong Zhu
  • Parimala Thulasiraman
  • Ruppa K. Thulasiram
  • Guang R. Gao
Part of the Lecture Notes in Computer Science book series (LNCS, volume 4331)


Computational requirements for solving models of financial derivatives, for example, the option pricing problems, are huge and demand efficient algorithms and high performance computing capabilities. This demand has been rekindled by the recent developments in the mobile technology making wireless trading a possibility. In this paper, we focus on the development of a Monte-Carlo algorithm on a modern multi-core chip architecture, Cyclops-64 (C64) under development at IBM as the experimental platform for our study in pricing options. The timing results on C64 show that various sets of simulations could be done in a real-time fashion while yielding high performance/price improvement over traditional microprocessors for finance applications.


Option Price Stochastic Volatility Strike Price Option Price Formula Option Price Problem 
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Copyright information

© Springer-Verlag Berlin Heidelberg 2006

Authors and Affiliations

  • Weirong Zhu
    • 1
  • Parimala Thulasiraman
    • 2
  • Ruppa K. Thulasiram
    • 2
  • Guang R. Gao
    • 1
  1. 1.Department of Electrical and Computer EngineeringUniversity of DelawareNewarkUSA
  2. 2.Department of Computer ScienceUniversity of Manitoba WinnipegCanada

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