Paper Info
Title
Exploiting the brownian bridge technique to improve longstaff-schwartz american option pricing on FPGA systems
Abstract
Risk analysis and management is a very compute intensive task that needs to be performed on a regular (daily) basis. FPGAs have already shown acceleration potential in financial applications with high energy efficiency. In this paper, we present a novel way to price multi-dimensional American options (highly involved in risk management) targeting heterogeneous CPU/FPGA systems. We demonstrate how an architectural limitation of the Longstaff-Schwartz algorithm is solved by means of an algorithmic transformation employing the Brownian Bridge technique. Based on this, we present a new pricing system on FPGAs that achieves a 2x improvement in runtime compared to the state-of-the-art solution in the same technology, with a maximum resources overhead of 15%. On top of that, our proposed architecture is 1.8x more energy efficient than the same reference.
Year
DOI
Venue
2015
10.1109/ReConFig.2015.7393306
2015 International Conference on ReConFigurable Computing and FPGAs (ReConFig)
Keywords
Field
DocType
Brownian Bridge technique,Longstaff-Schwartz American option pricing,risk analysis,risk management,financial applications,energy efficiency,multidimensional American options,heterogeneous CPU/FPGA systems,architectural limitation,Longstaff-Schwartz algorithm,algorithmic transformation,pricing system,field programmable gate arrays
Valuation of options,Brownian bridge,Computer science,Risk analysis (business),Efficient energy use,Field-programmable gate array,Real-time computing,Memory management,Risk management,Energy consumption
Conference
ISSN
Citations 
PageRank 
2325-6532
0
0.34
References 
Authors
10
6
Name
Order
Citations
PageRank
Javier Alejandro Varela132.45
Christian Brugger272.97
Christian De Schryver3568.84
Norbert Wehn41165137.17
Songyin Tang500.34
Steffen Omland600.34