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Exploring Reconfigurable Architectures for Binomial-Tree Pricing Models

  • Qiwei Jin
  • David B. Thomas
  • Wayne Luk
  • Benjamin Cope
Part of the Lecture Notes in Computer Science book series (LNCS, volume 4943)

Abstract

This paper explores the application of reconfigurable hardware to the acceleration of financial computations involving binomial-tree pricing models. A parallel pipelined architecture capable of computing multiple binomial trees is presented, which can deal with concurrent requests for option valuations. The architecture is mapped into an xc4vsx55 FPGA. Our results show that an FPGA implementation with fixed-point arithmetic at 87.4MHz can run over 250 times faster than a Core2 Duo processor at 2.2GHz, and more than two times faster than an nVidia Geforce 7900GTX processor with 24 pipelines at 650MHz.

Keywords

Asset Price Option Price Price Model American Option Strike Price 
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.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2008

Authors and Affiliations

  • Qiwei Jin
    • 1
  • David B. Thomas
    • 1
  • Wayne Luk
    • 1
  • Benjamin Cope
    • 2
  1. 1.Department of ComputingImperial CollegeLondonUK
  2. 2.Circuits and Systems Group, Department of Electrical and Electronic EngineeringImperial CollegeLondonUK

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