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E-grāmata: FPGA Based Accelerators for Financial Applications

  • Formāts: PDF+DRM
  • Izdošanas datums: 30-Jul-2015
  • Izdevniecība: Springer International Publishing AG
  • Valoda: eng
  • ISBN-13: 9783319154077
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  • Cena: 94,58 €*
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  • Formāts: PDF+DRM
  • Izdošanas datums: 30-Jul-2015
  • Izdevniecība: Springer International Publishing AG
  • Valoda: eng
  • ISBN-13: 9783319154077

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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 todays 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.
1 10 Computational Challenges in Finance
1(32)
Sascha Desmettre
Ralf Korn
2 From Model to Application: Calibration to Market Data
33(22)
Tilman Sayer
Jorg Wenzel
3 Comparative Study of Acceleration Platforms for Heston's Stochastic Volatility Model
55(20)
Christos Delivorias
4 Towards Automated Benchmarking and Evaluation of Heterogeneous Systems in Finance
75(22)
Christian De Schryver
Carolina Pereira Nogueira
5 Is High Level Synthesis Ready for Business? An Option Pricing Case Study
97(20)
Gordon Inggs
Shane Fleming
David B. Thomas
Wayne Luk
6 High-Bandwidth Low-Latency Interfacing with FPGA Accelerators Using PCI Express
117(26)
Mohammadsadegh Sadri
Christian De Schryver
Norbert Wehn
7 Pricing High-Dimensional American Options on Hybrid CPU/FPGA Systems
143(24)
Javier Alejandro Varela
Christian Brugger
Songyin Tang
Norbert Wehn
Ralf Korn
8 Bringing Flexibility to FPGA Based Pricing Systems
167(24)
Christian Brugger
Christian De Schryver
Norbert Wehn
9 Exploiting Mixed-Precision Arithmetics in a Multilevel Monte Carlo Approach on FPGAs
191(30)
Steffen Omland
Mario Hefter
Klaus Ritter
Christian Brugger
Christian De Schryver
Norbert Wehn
Anton Kostiuk
10 Accelerating Closed-Form Heston Pricers for Calibration
221(22)
Gongda Liu
Christian Brugger
Christian De Schryver
Norbert Wehn
11 Maxeler Data-Flow in Computational Finance
243(24)
Tobias Becker
Oskar Mencer
Stephen Weston
Georgi Gaydadjiev
List of Abbreviations 267(4)
List of Symbols 271
Dr.-Ing. Christian De Schryver graduated in Information Technology in 2008 and received a PhD in Electrical Engineering in 2014, both from the University in Kaiserslautern, Germany. At this place, he is currently a Post-Doc and Senior Member of the Customized High Performance Computing (CHPC) research team within the Microelectronic Systems Design Research Group headed by Prof. Dr. Norbert Wehn. His research interests are design methodologies for application-tailored heterogeneous execution platforms, hardware accelerators for supercomputing applications (in particular finance and big data processing) and system-level design flows.