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- W2287369826 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." @default.
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- W2287369826 date "2015-12-01" @default.
- W2287369826 modified "2023-09-25" @default.
- W2287369826 title "Exploiting the brownian bridge technique to improve longstaff-schwartz american option pricing on FPGA systems" @default.
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- W2287369826 doi "https://doi.org/10.1109/reconfig.2015.7393306" @default.
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