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Output details

11 - Computer Science and Informatics

Imperial College London

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Article title

Design Exploration of Quadrature Methods in Option Pricing

Type

D - Journal article

DOI

10.1109/TVLSI.2011.2128354

Title of journal

IEEE Transactions on Very Large Scale Integration (VLSI) Systems

Article number

Volume number

Issue number

First page of article

818

ISSN of journal

1063-8210

Year of publication

2012

URL

Number of additional authors

Additional information

<01>Faster and more accurate financial computing improves risk management and market stability. This is the first journal paper showing how FPGAs analyse options using quadrature, demonstrating superior performance and energy efficiency over CPUs and GPUs. With the related FCCM’2009 and FPT’2009 papers, it led to: (1) PhD support by J.P. Morgan and Maxeler; (2) FP7 project FASTER on optimising FPGA designs by run-time reconfiguration; (3) keynotes at FPL’2010 and FPT’2011, and invited talk at 2013 Conference and Training Event on Computational Methods and Technologies for Finance; (4) multi-level customisation techniques for finance. Extended from ARC’2012 paper (won Best Paper Award.

Interdisciplinary

Yes

Cross-referral requested

Research group

E - Programming Languages and Systems

Citation count

Proposed double-weighted

Double-weighted statement

Reserve for a double-weighted output

Non-English

English abstract