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cs.DC2022★ 3 cited
Fast and energy-efficient derivatives risk analysis: Streaming option Greeks on Xilinx and Intel FPGAs
Mark Klaisoongnoen, Nick Brown, Oliver Brown
Whilst FPGAs have enjoyed success in accelerating high-frequency financial workloads for some time, their use for quantitative finance, which is the use of mathematical models to a…
cs.DC2022★ 1 cited
Low-power option Greeks: Efficiency-driven market risk analysis using FPGAs
Mark Klaisoongnoen, Nick Brown, Oliver Thomson Brown
Quantitative finance is the use of mathematical models to analyse financial markets and securities. Typically requiring significant amounts of computation, an important question is…