An Energy Efficient FPGA Accelerator for Monte Carlo Option Pricing with the Heston Model

Today, pricing of derivates (particularly options) in financial institutions is a challenge. Besides the increasing complexity of the products, obtaining fair prices requires more realistic (and therefore complex) models of the underlying asset behavior. Not only due to the increasing costs, energy efficient and accurate pricing of these models becomes more and more important. In this paper we present - to the best of our knowledge - the first FPGA based accelerator for option pricing with the state-of-the-art Heston model. It is based on advanced Monte Carlo simulations. Compared to an 8-core Intel Xeon Server running at 3.07GHz, our hybrid FPGA-CPU-system saves 89% of the energy and provides around twice the speed. The same system reduces the energy consumption per simulation to around 40% of a fully-loaded Nvidia Tesla C2050 GPU. For a three-Virtex-5 chip only accelerator, we expect to achieve the same simulation speed as a Nvidia Tesla C2050 GPU, by consuming less than 3% of the energy at the same time.

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