FPGA Based Accelerators for Financial Applications

This book covers the latest approaches and results from reconfigurable computing architectures employed in the finance domain. So-called field-programmable gate arrays (FPGAs) have already shown to outperform standard CPU- and GPU-based computing architectures by far, saving up to 99% of energy depending on the compute tasks. Renowned authors from financial mathematics, computer architecture, and finance business introduce the readers into today's challenges in finance IT, illustrate the most advanced approaches and use cases, and present currently known methodologies for integrating FPGAs in finance systems together with latest results. The complete algorithm-to-hardware flow is covered holistically, so this book serves as a hands-on guide for IT managers, researchers, and quants/programmers who think about integrating FPGAs into their current IT systems Front Matter....Pages i-xviii 10 Computational Challenges in Finance....Pages 1-31 From Model to Application: Calibration to Market Data....Pages 33-54 Comparative Study of Acceleration Platforms for Heston’s Stochastic Volatility Model....Pages 55-74 Towards Automated Benchmarking and Evaluation of Heterogeneous Systems in Finance....Pages 75-95 Is High Level Synthesis Ready for Business? An Option Pricing Case Study....Pages 97-115 High-Bandwidth Low-Latency Interfacing with FPGA Accelerators Using PCI Express....Pages 117-141 Pricing High-Dimensional American Options on Hybrid CPU/FPGA Systems....Pages 143-166 Bringing Flexibility to FPGA Based Pricing Systems....Pages 167-190 Exploiting Mixed-Precision Arithmetics in a Multilevel Monte Carlo Approach on FPGAs....Pages 191-220 Accelerating Closed-Form Heston Pricers for Calibration....Pages 221-242 Maxeler Data-Flow in Computational Finance....Pages 243-266 Back Matter....Pages 267-273